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<SEC-DOCUMENT>0000950123-01-002360.txt : 20010319
<SEC-HEADER>0000950123-01-002360.hdr.sgml : 20010319
ACCESSION NUMBER:		0000950123-01-002360
CONFORMED SUBMISSION TYPE:	424B5
PUBLIC DOCUMENT COUNT:		1
FILED AS OF DATE:		20010316

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			J P MORGAN CHASE & CO
		CENTRAL INDEX KEY:			0000019617
		STANDARD INDUSTRIAL CLASSIFICATION:	NATIONAL COMMERCIAL BANKS [6021]
		IRS NUMBER:				132624428
		STATE OF INCORPORATION:			DE
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		424B5
		SEC ACT:		
		SEC FILE NUMBER:	333-94393
		FILM NUMBER:		1570545

	BUSINESS ADDRESS:	
		STREET 1:		270 PARK AVE
		STREET 2:		39TH FL
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10017
		BUSINESS PHONE:		2122706000

	MAIL ADDRESS:	
		STREET 1:		270 PARK AVENUE
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10017

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	CHASE MANHATTAN CORP /DE/
		DATE OF NAME CHANGE:	19960402

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	CHEMICAL BANKING CORP
		DATE OF NAME CHANGE:	19920703

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	CHEMICAL NEW YORK CORP
		DATE OF NAME CHANGE:	19880508
</SEC-HEADER>
<DOCUMENT>
<TYPE>424B5
<SEQUENCE>1
<FILENAME>e45907b5e424b5.txt
<DESCRIPTION>PROSPECTUS SUPPLEMENT
<TEXT>

<PAGE>   1
                                            As filed pursuant to Rule 424(b)(5)
                                                  Registration Number 333-94393


Prospectus Supplement
(To Prospectus dated February 11, 2000)

[JPMORGANCHASE LOGO]

$15,000,000

Consumer Price Indexed Securities(SM) (CPIS(SM))
Securities indexed to the non-seasonally adjusted U.S. Consumer Price Index, or
CPI, on a three-month lagged basis

The CPIS pay no interest and do not guarantee any return of principal at
maturity. Instead, at maturity, J.P. Morgan Chase & Co. will pay to a holder of
the CPIS an amount based on the cumulative percentage increase, if any, in the
CPI on a three-month lagged basis over the term of the CPIS, calculated in
accordance with the formula set out below. As a result, if inflation is negative
or zero over the life of the CPIS, the payment at maturity will be zero. In
addition, a small difference in the rate of inflation can mean a large
difference in the payout at maturity of the CPIS.

 --   The principal amount and issue price of each CPIS is $1,250.

 --   The CPIS mature on January 15, 2010.

 --   At maturity, you will receive $1,948.42 per $1,250 principal amount of the
      CPIS plus an amount equal to the product of a multiplier times the
      difference between the ending index and the forward index, which amount
      may be positive or negative. The multiplier is 57.30659. The forward index
      is 208.50, approximately 34.0 points higher than the Reference CPI on the
      day of pricing. The ending index will be the Reference CPI at maturity of
      the CPIS.

 --   Pursuant to this formula, at maturity a holder of the CPIS receives $100
      for every 1% increase in the Reference CPI over the life of the CPIS.

 --   The Reference CPI is a three-month lagged version of the CPI which is used
      by the United States Department of the Treasury to calculate the inflation
      indexed principal of its inflation indexed securities. The CPI is the
      non-seasonally adjusted U.S. City Average All Items Consumer Price Index
      for All Urban Consumers published monthly by the Bureau of Labor
      Statistics of the U.S. Department of Labor.

 --   Beginning on January 15, 2003, and each January 15 thereafter prior to
      maturity, you will have the right to redeem your CPIS for an amount equal
      to the discounted present value of the estimated payment at maturity.

 --   The CPIS are indexed securities; they are not bank deposits. The CPIS are
      not insured by the FDIC or any other federal agency. The CPIS are not
      futures contracts and do not represent an actual Investment in futures
      contracts.

 --   The CPIS have been approved for listing on the American Stock Exchange
      LLC, subject to official notice of issuance.

THE CPIS INVOLVE RISKS NOT ASSOCIATED WITH AN INVESTMENT IN CONVENTIONAL DEBT
SECURITIES OR OTHER INFLATION-LINKED SECURITIES AND MAY INVOLVE THE LOSS OF YOUR
ENTIRE INVESTMENT. SEE "RISK FACTORS" BEGINNING ON PAGE S-8.

Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined that
this prospectus supplement or the attached prospectus is accurate or complete.
Any representation to the contrary is a criminal offense.

<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
                                                     PRICE TO          UNDERWRITING         PROCEEDS
                                                      PUBLIC            DISCOUNTS             TO US
- ------------------------------------------------------------------------------------------------------
<S>                                                 <C>                <C>                 <C>
Per CPIS..........................................  $  1,250.00          $  62.50          $  1,187.50
- ------------------------------------------------------------------------------------------------------
Total.............................................  $15,000,000          $750,000          $14,250,000
- ------------------------------------------------------------------------------------------------------
</TABLE>

Our affiliates, J.P. Morgan Securities Inc. and Chase Securities Inc., may use
this prospectus supplement and the attached prospectus in connection with offers
and sales of the securities in the secondary market. Those affiliates may act as
principal or agent in those transactions. Secondary market sales will be made at
prices related to market prices at the time of sale.

                                    JPMORGAN

March 15, 2001
<PAGE>   2

In making your investment decision, you should rely only on the information
contained or incorporated by reference in this prospectus supplement and the
attached prospectus. We have not authorized anyone to provide you with any other
information. If you receive any information not authorized by us, you should not
rely on it.

We are offering to sell the CPIS only in places where sales are permitted.

You should not assume that the information contained or incorporated by
reference in this prospectus supplement or the attached prospectus is accurate
as of any date other than their respective dates.

It is the policy of J.P. Morgan Chase & Co. and our affiliates to obtain
protection of intellectual property rights where permitted under law. We believe
that certain aspects of the CPIS may be eligible for patent protection, and are
seeking that protection. To the extent that acquiring, holding, selling, trading
or redeeming the CPIS issued under the terms of this prospectus supplement and
the attached prospectus would infringe any of our present or future patent
rights, we hereby grant any holder a license to acquire, hold, sell, trade or
redeem the CPIS.

Consumer Price Indexed Securities and CPIS are service marks of J.P. Morgan
Chase & Co.

                            ------------------------

                               TABLE OF CONTENTS

<TABLE>
<CAPTION>
                                        PAGE
                                        ----
<S>                                     <C>
PROSPECTUS SUPPLEMENT
Summary...............................   S-3
Risk Factors..........................   S-8
Where You Can Find More Information...  S-15
Use of Proceeds.......................  S-17
J.P. Morgan Chase & Co. ..............  S-18
Description of CPIS...................  S-19
United States Federal Income
  Taxation............................  S-33
Underwriting..........................  S-36
ERISA Matters for Pension Plans and
  Insurance Companies.................  S-38
Experts...............................  S-38
Legal Opinions........................  S-38
</TABLE>

<TABLE>
<CAPTION>
                                        PAGE
                                        ----
<S>                                     <C>
PROSPECTUS
Summary...............................     2
The Chase Manhattan Corporation.......     6
Use of Proceeds.......................     7
Description of the Debt Securities....     7
Description of Preferred Stock........    19
Description of Common Stock...........    26
Description of Securities Warrants....    27
Description of Currency Warrants......    27
Plan of Distribution..................    28
Experts...............................    30
Legal Opinions........................    30
</TABLE>

                                       S-2
<PAGE>   3

                                    SUMMARY

     Because this is a summary, it does not contain all of the information that
may be important to you. You should read the "Description of CPIS" section in
this prospectus supplement for a detailed description of the terms of the CPIS.
You should also read about some of the risks involved in investing in the CPIS
in the section called "Risk Factors." We urge you to consult with your
investment, legal, accounting and other advisers before you invest in the CPIS.
In this prospectus supplement, references to "per CPIS" means each $1,250
principal amount of CPIS we are offering to you.

SECURITIES OFFERED...........  Consumer Price Indexed Securities(SM) (CPIS(SM))
                               indexed to the non-seasonally adjusted U.S. City
                               Average All Items U.S. Consumer Price Index on a
                               three-month lagged basis.

ISSUER.......................  J.P. Morgan Chase & Co.

INITIAL OFFERING PRICE AND
  PRINCIPAL AMOUNT PER
  CPIS.......................  $1,250.

AGGREGATE PRINCIPAL AMOUNT...  $15,000,000.

DENOMINATIONS................  $1,250 and integral multiples thereof.

MATURITY.....................  January 15, 2010, subject to extension in the
                               case of a Market Disruption Event.

PAYMENT AT MATURITY..........  At maturity, we will pay you $1,948.42 per $1,250
                               principal amount of the CPIS plus an amount equal
                               to the product of the Multiplier times the Index
                               Amount, which amount can be positive or negative,
                               but the payment at maturity cannot be less than
                               zero. The amount payable at maturity pursuant to
                               this formula is equivalent to the cumulative
                               percentage increase in the Reference CPI over the
                               life of the CPIS multiplied by $10,000.

MULTIPLIER...................  57.30659, or $10,000 divided by the Reference CPI
                               on the day of pricing.

INDEX AMOUNT.................  Ending Index minus Forward Index (the result of
                               which may be positive or negative).

FORWARD INDEX................  208.50 or approximately 34.0 points higher than
                               the Reference CPI on the date of pricing. The
                               Reference CPI on the date of pricing is assumed
                               to be 174.50.

ENDING INDEX.................  The Reference CPI at maturity of the CPIS. The
                               Reference CPI is the three-month lagged version
                               of the CPI used by the United States Department
                               of the Treasury to calculate the
                               inflation-indexed principal of its
                               inflation-indexed securities. The CPI is the
                               non-seasonally adjusted U.S. City Average All
                               Items Consumer Price Index for All Urban
                               Consumers published monthly by the Bureau of
                               Labor Statistics of the U.S. Department of Labor.

CALCULATION AGENT............  Morgan Guaranty Trust Company of New York.

OPTIONAL REDEMPTION..........  At your option, on January 15, 2003, and each
                               January 15 thereafter prior to maturity, you may
                               redeem your CPIS at the Optional Redemption Value
                               as described herein. In order to redeem your
                               CPIS, you must give us notice no later than 10
                               and no earlier than 20 business days prior to the
                               applicable Optional Redemption Date.

                                       S-3
<PAGE>   4

OPTIONAL REDEMPTION
  DETERMINATION DATE.........  Five business days prior to any Optional
                               Redemption Date, subject to a delay for a Market
                               Disruption Event.

OPTIONAL REDEMPTION VALUE....  The discounted present value of the estimated
                               payment at maturity per $1,250 principal amount
                               of the CPIS determined on the Optional Redemption
                               Determination Date prior to the applicable
                               Optional Redemption Date, as determined by the
                               Calculation Agent (such amount may be more or
                               less than the principal amount of the CPIS, but
                               not less than zero). See "Description of
                               CPIS--Optional Redemption".

EARLY DETERMINATION OF
  ENDING INDEX...............  Upon the occurrence of certain events affecting
                               the liquidity of (i) the 4.25% U.S. Treasury
                               Inflation Protected Securities due January 15,
                               2010 (the "Reference TIPS"), or (ii) the 6.50%
                               U.S. Treasury Security due February 15, 2010 (the
                               "Reference Government Notes", together with the
                               Reference TIPS, the "Reference Treasuries", and
                               either a "Reference Treasury"), the Ending Index
                               may be fixed and such fixed value will be used to
                               calculate the Index Amount upon any subsequent
                               redemption and at maturity of the CPIS. See
                               "Description of CPIS--Early Determination of the
                               Ending Index".

USE OF PROCEEDS..............  We will use the net proceeds we receive from the
                               sale of the CPIS offered by this prospectus
                               supplement for general corporate purposes and in
                               connection with hedging our obligations under the
                               CPIS.

LISTING......................  The CPIS have been approved for listing on AMEX
                               under the symbol JPI.A, subject to official
                               notice of issuance.

FEDERAL INCOME TAX
  TREATMENT..................  The U.S. federal income tax consequences of an
                               investment in the CPIS are complex and uncertain.
                               We and the holders of the CPIS will agree to
                               treat the CPIS as a contract claim that is not an
                               option, unless otherwise required by the Internal
                               Revenue Service. We also intend to take the
                               position that holders that are U.S. persons will
                               not be required to accrue any amounts in income
                               for U.S. federal income tax purposes with respect
                               to the CPIS before receiving payments with
                               respect thereto except possibly on an early
                               determination of the Ending Index or when the
                               Ending Index can be determined in the month
                               preceding the maturity of the CPIS. It is
                               possible, however, that other tax consequences
                               might result. In particular, U.S. holders may be
                               required to accrue income over the life of the
                               CPIS or may be required to mark to market the
                               CPIS each year. We expect that non-U.S. holders
                               will be subject to withholding at a rate of 30%
                               with respect to amounts paid to such holders at
                               maturity or upon redemption. Pension plans
                               (including individual retirement accounts) should
                               consult their tax advisers concerning the
                               application of the "unrelated business taxable
                               income" rules to income from the CPIS.

HOW TO REACH US..............  You may contact us at our principal executive
                               offices at 270 Park Avenue, New York, New York
                               10017-2070 (telephone number (212) 270-4040).

                                       S-4
<PAGE>   5

                            SUMMARY INFORMATION--Q&A

This summary includes questions and answers that highlight selected information
from the prospectus and this prospectus supplement to help you understand the
CPIS. You should carefully read the prospectus and this prospectus supplement to
fully understand the terms of the CPIS, the CPI, the Reference CPI and the tax
and other considerations that are important to an investor in making a decision
about whether to invest in the CPIS. You should carefully review the "Risk
Factors" section, which highlights certain risks associated with an investment
in the CPIS, to determine whether an investment in the CPIS is appropriate for
you.

WHAT ARE THE CPIS?

The CPIS are securities that are indexed to the Reference CPI such that the
payment at maturity or upon redemption may be more or less than the principal
amount of the CPIS, but may not be less than zero.

The CPIS mature on January 15, 2010. However, upon the occurrence of certain
Market Disruption Events, the final maturity date may be delayed. See
"Description of CPIS--Market Disruption Events". The CPIS may be redeemed
annually at the option of the holder on each January 15, beginning January 15,
2003.

WHAT IS THE CONSUMER PRICE INDEX OR CPI?

The CPIS are indexed to the consumer price index, or CPI, on a three-month
lagged basis. The CPI for these purposes is the non-seasonally adjusted U.S.
City Average All Items Consumer Price Index published monthly by the Bureau of
Labor Statistics of the U.S. Department of Labor. The CPI is a measure of the
average change in consumer prices over time in a fixed market basket of goods
and services, including food, clothing, shelter, fuels, transportation, charges
for doctors' and dentists' services, and drugs. User fees (such as water and
sewer service) and sales and excise taxes paid by the consumer are also
included. Income taxes and investment items (such as stocks, bonds, and life
insurance) are not included.

The CPI includes expenditures by urban wage earners and clerical workers,
professional, managerial, and technical workers, the self-employed, short-term
workers, the unemployed, retirees and others not in the labor force. In
calculating the index, the Bureau of Labor Statistics calculates price changes
for the various items and these price changes are averaged together with weights
that represent their importance in the spending of urban households in the
United States. The contents of the market basket of goods and services and the
weights assigned to the various items are updated periodically by the Bureau of
Labor Statistics to take into account changes in consumer expenditure patterns.
The CPI is expressed in relative terms based on a reference period for which the
level is set at 100 (currently the base reference period used by the Bureau of
Labor Statistics is 1982-1984).

WHAT IS THE REFERENCE CPI?

The CPI level used to determine the payment at maturity or upon redemption is
referred to herein as the Reference CPI. It is a three-month lagged version of
the CPI. Reference CPI means, for the first day of any calendar month, the CPI
for the third preceding calendar month (which is typically released and
published by the Bureau of Labor Statistics in the second preceding calendar
month). Such Reference CPI is the same CPI used by the United States Treasury
Department in connection with its U.S. Treasury Inflation Protected Securities.

For example, the Reference CPI for April 1 in any year is the CPI for January of
such year, which is usually released and published by the Bureau of Labor
Statistics in February of such year. The Reference CPI for any day of a month,
other than the first day of such month, is the linear interpolation between the
Reference CPI for the first day of that month and the first day of the
immediately following month. For example, the Reference CPI for January 15 in
any year is the linear interpolation between the CPI for the first day of the
preceding October and the CPI for the first day of the preceding November. For
the CPIS, we will round the applicable Reference CPI to two decimal places.

WHAT WILL I RECEIVE AT MATURITY OF THE CPIS?

The CPIS are full principal-at-risk securities and you may receive more or less
than the principal amount of the CPIS. At maturity of the CPIS, unless
previously redeemed as described below, an investor will receive per $1,250
principal amount of the CPIS $1,948.42 plus an amount equal to the product of
the multiplier times the Index

                                       S-5
<PAGE>   6

Amount (which equals the Ending Index minus the Forward Index).

Although the Index Amount can be negative, in no circumstances will the amount
due at maturity be less than zero. The amount payable at maturity pursuant to
this formula is equivalent to the cumulative percentage increase in the
Reference CPI over the life of the CPIS multiplied by $10,000. Certain Market
Disruption Events could delay the maturity date. See "Description of
CPIS--Payment at Maturity".

The payment at maturity on the CPIS is linked directly to the performance of the
CPI on a three-month lagged basis. The Reference CPI must increase by an average
of approximately 1.34% per year over the life of the CPIS for the payment at
maturity to equal to the principal amount of the CPIS.

Hypothetical Examples

As noted above, the payment at maturity is dependent on the Ending Index (the
Reference CPI at maturity), and is calculated by the equation:

Payment at maturity = $1,948.42 + (Multiplier X (Ending Index - Forward Index)).

The following four examples show hypothetical payments at maturity for each
$1,250 principal amount of the CPIS: (1) greater than the principal amount, (2)
equal to the principal amount, (3) less than the principal amount and (4) equal
to zero. In each of the examples the Forward Index equals 208.50, the term
equals 8 years and 10 months, the Multiplier equals 57.30659 and the Reference
CPI on the issue date equals 174.50, thus only the Ending Index is needed to
determine the payment at maturity.

Example 1 (Payment at maturity greater than the principal amount): If the
Reference CPI increases by an average of approximately 4.00% per year over the
life of the CPIS, then the Ending Index will equal 246.7 at maturity, or a
41.38% increase. Thus, in this example:

                             Payment at maturity =
                 $1,948.42 + (57.30659 X (246.7 - 208.50)), or
                         Payment at maturity = $4,138.

Example 2 (Payment at maturity equal to the principal amount): If the Reference
CPI increases by an average of approximately 1.34% per year over the life of the
CPIS, then the Ending Index will equal 196.3 at maturity, or a 12.5% increase.
Thus, in this example:

                             Payment at maturity =
                 $1,948.42 + (57.30659 X (196.3 - 208.50)), or
                         Payment at maturity = $1,250.

Example 3 (Payment at maturity less than the principal amount): If the Reference
CPI increases by an average of approximately 1.00% per year over the life of the
CPIS, then the Ending Index will equal 190.5 at maturity, or a 9.19% increase.
Thus, in this example:

                             Payment at maturity =
                   $1,948.42 + (57.30659 X (190.5 - 208.50)),
                                   therefore
                          Payment at maturity = $919.

As Example 3 demonstrates, if the Reference CPI increases over the life of the
CPIS by less than an average of approximately 1.34% per year, the payment at
maturity will be less than the principal amount and you will lose money on your
initial investment.

Example 4 (Payment at maturity equals zero): If the Reference CPI decreases or
does not increase over the life of the CPIS, you will receive no payment at
maturity and you will lose your entire investment in the CPIS. For example, if
the Reference CPI does not increase over the life of the CPIS, then the Ending
Index will equal 174.50 at maturity. Thus, in this example:

                             Payment at maturity =
                  $1,948.42 + (57.30659 X (174.50 - 208.50)),
                                   therefore
                           Payment at maturity = $0.

However, if the Reference CPI were to decrease, and the formula provided for a
negative payment amount, the payment at maturity would not be less than zero.

CAN I OPT TO REDEEM EARLY?

Beginning on January 15, 2003, and each January 15 thereafter prior to maturity,
each holder of the CPIS may cause us to redeem some or all of such holder's CPIS
at the Optional Redemption Value. Holders wishing to redeem early must give
notice as specified in this prospectus supplement no later than 10 and no
earlier than 20 business days prior to the applicable Optional Redemption Date.
Holders wishing to redeem early will not be able to determine the Optional
Redemption Value until the Optional Redemption Determination Date, which will
not occur until after notice of

                                       S-6
<PAGE>   7

Optional Redemption must be given. The Optional Redemption Value represents the
discounted present value of the projected payment at maturity determined on the
Optional Redemption Determination Date prior to such Optional Redemption Date as
described in this prospectus supplement. However, it is likely, under
usually-prevailing market conditions, that the Optional Redemption Value will be
less than the amount a holder could realize by selling such CPIS on such
Optional Redemption Determination Date in the market (excluding commission
costs), because the formula for determining the Optional Redemption Value does
not account for any time premium and uses a conservative methodology including a
redemption fee of 30 basis points per annum.

CAN THE ENDING INDEX BE DETERMINED EARLY?

Yes. Upon the occurrence of certain events affecting the outstanding amount of
either of the Reference Treasuries, we have the right to cause the Ending Index
to be fixed. Such Fixed Ending Index is determined using the same methodology as
is used in determining the Optional Redemption Value (including the 30 basis
point per annum redemption fee). Following such an event, the Ending Index will
remain fixed and will be used in calculating the payment at maturity or upon
redemption.

WILL I RECEIVE INTEREST?

No. The CPIS do not pay any interest.

WHERE WILL THE CPIS BE LISTED?

The CPIS have been approved for listing on the American Stock Exchange (the
"AMEX") under the symbol "JPI.A", subject to official notice of issuance. Prior
to this offering, there has been no market for the CPIS. You should be aware
that listing the CPIS on the American Stock Exchange will not necessarily ensure
that a liquid trading market will be available for the CPIS.

WHAT ABOUT TAXES?

The U.S. federal income tax consequences of an investment in the CPIS are
complex and uncertain. Pursuant to the terms of the CPIS, we and you will agree
to treat the CPIS as a contract claim that is not an option, unless otherwise
required by the IRS. We also intend to take the position that you will not be
required to accrue income for U.S. federal income tax purposes with respect to
the CPIS before receiving payments with respect thereto, except possibly on an
early determination of the Ending Index or when the Ending Index can be
determined in the month preceding the maturity. Assuming these positions
concerning the CPIS are respected, it is not clear whether your income, gain or
loss upon the payment of the CPIS at maturity or upon redemption will be
ordinary or capital in character. Also, although the law is unclear and the IRS
might challenge the position, you will likely have capital gain or loss upon the
sale or other disposition of the CPIS to a third party.

Pension plans (including individual retirement accounts) should consult their
tax advisers concerning the application of the "unrelated business taxable
income" rules to income from the CPIS.

We expect that non-U.S. holders of the CPIS will be subject to withholding at a
rate of 30% with respect to amounts paid to such holders at maturity or upon
redemption. Non-U.S. holders can, however, apply to the IRS for a refund of any
amounts so withheld on the theory that no withholding tax was due. No assurance
can be given that any such refund claim will be successful.

For further information, see "United States Federal Income Taxation" in this
prospectus supplement.

ARE THERE ANY RISKS ASSOCIATED WITH MY INVESTMENT?

Yes. An investment in the CPIS is subject to certain risks, including full
principal risk and other risks not associated with an investment in conventional
debt securities or even other inflation-linked securities. You may lose some or
all of your initial investment. Please refer to the section "Risk Factors" in
this prospectus supplement.

IN WHAT FORM WILL THE CPIS BE ISSUED?

The CPIS will be represented by one or more global securities that will be
deposited with and registered in the name of the Depository Trust Company or its
nominee. This means you will not receive a certificate for your security.

                                       S-7
<PAGE>   8

                                  RISK FACTORS

Your investment in the CPIS will involve certain risks. The CPIS are not
principal-protected. In addition, your investment in the CPIS entails other
risks not associated with an investment in conventional debt securities or even
other inflation-linked securities. You should consider carefully the following
discussion of risks before you decide that an investment in the CPIS is suitable
for you.

IF THE REFERENCE CPI LEVEL DECREASES OR DOES NOT INCREASE BY AT LEAST 12.5% OVER
THE LIFE OF THE CPIS, YOU COULD LOSE ALL OR SOME OF YOUR INVESTMENT.

The CPIS are full principal-at-risk securities. The amount payable at maturity
per $1,250 principal amount of the CPIS will be determined, pursuant to the
terms described in this prospectus supplement, by adding $1,948.42 to an amount
equal to the product of a multiplier times the difference between the Ending
Index (the Reference CPI level at maturity) and the Forward Index, which amount
can be positive or negative. At maturity, if the Reference CPI level has
decreased or has not increased by at least 12.5%, the amount payable at maturity
will be less than the principal amount of the CPIS. In the event of low
inflation, no inflation or sustained deflation (negative inflation or falling
price levels), the CPIS may have no value at maturity.

IF YOU EXERCISE YOUR REDEMPTION RIGHT, THE OPTIONAL REDEMPTION VALUE MAY BE
LOWER THAN THE AMOUNT YOU COULD REALIZE BY SELLING YOUR CPIS IN THE SECONDARY
MARKET.

The CPIS may be redeemed prior to maturity annually beginning in 2003, at the
option of the holders, on each January 15. In the case of a redemption, it is
likely, under usually-prevailing market conditions, that the amount payable upon
a redemption will be less than the amount a holder could realize by selling such
CPIS on such Optional Redemption Determination Date (excluding commission costs)
in the secondary market, because the formula for determining the Optional
Redemption Value does not account for any time premium and uses a conservative
methodology (including a redemption fee of 30 basis points per annum).

EVEN THOUGH THE CPIS HAVE BEEN APPROVED FOR LISTING ON THE AMERICAN STOCK
EXCHANGE, SUBJECT TO OFFICIAL NOTICE OF ISSUANCE, WE CANNOT ASSURE YOU THAT AN
ACTIVE TRADING MARKET WILL DEVELOP.

The CPIS have been approved for listing on the AMEX under symbol "JPI.A",
subject to official notice of issuance. Prior to this offering there has been no
market for the CPIS. Listing the CPIS on the AMEX does not necessarily ensure
that a liquid trading market will develop for the CPIS.

If the trading market for the CPIS is limited, there may be a limited number of
buyers when you decide to sell your CPIS if you do not wish to hold your
investment until maturity. This may affect the price you receive upon such sale.

UPON THE OCCURRENCE OF CERTAIN EVENTS, WE MAY PERMANENTLY FIX THE ENDING INDEX
PRIOR TO MATURITY, AND THEREFORE ADVERSELY AFFECT THE TRADING VALUE OF THE CPIS.

If either of the Reference Treasuries is subject to a buyback or is called by
the Treasury Department, or if the outstanding amount of either such Reference
Treasury is

- -  reduced by 10% or more from the greatest outstanding amount since issuance of
   the CPIS (a "First Reference Treasury Event"), or

- -  subsequently reduced by 10% from the amount outstanding at the time of the
   First Reference Treasury Event or any subsequent reduction (a "Subsequent
   Reference Treasury Event"),

then we have the right, but not the obligation, on such date or within 30 days
of such date, to permanently fix the Ending Index (the "Fixed Ending Index").
Currently, there are approximately $11 billion in Reference TIPS and $23 billion
in Reference Government Notes issued and outstanding. The value of the Fixed
Ending Index will be determined using then current market inputs and the
methodology used in determining the Optional Redemption Value in the event of a
redemption. However, the CPIS will not be automatically redeemed and will remain
outstanding until maturity or redemption on an Optional Redemption Date. Such
early fixation of the Ending Index may adversely affect the trading value of the

                                       S-8
<PAGE>   9

CPIS and the amount payable at maturity or on redemption relative to what it may
have been if such early fixation had not occurred.

VARIOUS FACTORS COULD AFFECT THE MARKET VALUE OF THE CPIS.

The value of the CPIS in the secondary market will be affected by the supply of
and demand for the CPIS and other key factors including, but not limited to: the
level of the CPI, the market's forecast for future inflation ("expected
inflation"), volatility of the CPI, the remaining time to maturity and interest
rates. Assuming all other conditions remain constant, a change in a specific
factor, as discussed below, could impact the market value of the CPIS:

- -  CPI Level: We expect the market value of the CPIS to depend on the level of
   the CPI. As discussed under "Description of CPIS", decreases in the CPI and
   consequently the Reference CPI could cause adverse changes in the value of
   the CPIS. As a result, every 1% increase in the Reference CPI over the life
   of the CPIS results in a $100 payment at maturity of the CPIS.

- -  Expected Inflation: We expect the market value of the CPIS will also depend
   on the expected inflation for the remaining term of the CPIS. Here, we use
   the term expected inflation to mean the rate of inflation that the market
   expects through maturity, which can be approximated by the difference between
   the yields on non-inflation indexed securities issued by the Treasury
   Department ("U.S. Government Treasury Notes") and inflation-indexed
   securities issued by the Treasury Department ("TIPS") with maturities similar
   to that of the CPIS. Reductions in the market's forecast for expected
   inflation should cause an adverse change in the value of the CPIS because
   they would lower the expected payout at maturity. For example, at some point
   prior to maturity, although the Reference CPI level may have increased at an
   average rate greater than 1.34% per year (the average annual rate of increase
   required over the life of the CPIS for the payment at maturity to equal the
   principal amount) from issuance, expected inflation for the remaining term
   may have fallen such that the CPIS could trade at a price lower than the
   principal amount.

- -  Volatility of the CPI: Volatility is the term used to describe the size and
   frequency of fluctuations in a particular index or market. If the volatility
   of the CPI increases or decreases, the trading value of the CPIS may be
   adversely affected.

- -  Remaining Time to Maturity: The CPIS may trade at a value above that which
   would be expected based on the Reference CPI level, expected inflation and
   interest rates. Any such difference may reflect a time premium resulting from
   expectations concerning the value of the CPI during the period to the
   maturity. However, as the time remaining to maturity decreases, the time
   premium may decrease, adversely affecting the trading value of the CPIS.

- -  Interest Rates: The trading value of the CPIS may be affected by changes in
   interest rates. In general, if interest rates increase (and inflation and
   expected inflation stay the same), the trading value of the CPIS may be
   adversely affected.

In addition, cumulative redemptions which reduce the number of outstanding CPIS
to very low levels and reduce liquidity could result in the eventual delisting
of the CPIS from the AMEX.

TRADING IN U.S. INFLATION-LINKED NOTES, U.S. GOVERNMENT TREASURY NOTES AND OTHER
INSTRUMENTS BY OUR AFFILIATES COULD ADVERSELY AFFECT THE TRADING VALUE OF THE
CPIS.

We and some of our affiliates may be actively involved in the trading of TIPS
(including the Reference TIPS), U.S. Government Treasury Notes (including the
Reference Government Notes) and other instruments and derivative products based
thereon. We and some of our affiliates are active participants in
inflation-linked swaps and related derivatives markets. J.P. Morgan Securities
Inc., Chase Securities Inc. and other affiliates of ours may also issue or
underwrite or assist unaffiliated entities in the issuance or underwriting of
other securities or financial instruments with returns indexed to the CPI or
another inflation index.

Trading in the above-referenced securities, contracts and instruments by us and
some of our affiliates (including J.P. Morgan Securities and Chase Securities)
and unaffiliated third parties could adversely affect the trading value of the
CPIS by, among other effects, influencing the level of expected inflation or

                                       S-9
<PAGE>   10

the market demand for CPI-linked securities. Also, additional issuances of
securities linked or referenced to the CPI or similar inflation indices could
adversely affect the value of the CPIS.

WE OR OUR AFFILIATES MAY HAVE INTERESTS ADVERSE TO THOSE OF THE HOLDERS OF THE
CPIS.

As noted above, certain of our affiliates expect to engage in trading activities
related to inflation-linked securities and other instruments or derivative
products based on or related to the CPI, for their accounts and for other
accounts under their management. Certain of our affiliates, as well as
unaffiliated third parties, may also engage in other activities related to the
CPI, as discussed above. To the extent that we or one of our affiliates serves
as issuer, agent or underwriter for such securities, their interests with
respect to such products may be adverse to those of the holders of the CPIS.
Additionally, we or one of our affiliates may serve as issuer, agent or
underwriter for additional issuances of CPIS, which may adversely affect the
trading value or resale value of the CPIS.

Morgan Guaranty will serve as Calculation Agent with respect to the CPIS and as
such will be responsible for calculating the Reference CPI and payments on
maturity and upon redemption. Morgan Guaranty will also be responsible for
determining whether a Market Disruption Event has occurred. In performing these
duties, Morgan Guaranty may have interests adverse to the interests of the
holders of the CPIS, such as instances when Morgan Guaranty as the Calculation
Agent is required to exercise discretion.

We have entered into an arrangement with one of our subsidiaries to hedge the
market risk associated with our obligation to make payment on the CPIS. Such
subsidiary expects to make a profit in connection with such arrangement. We did
not seek competitive bids for such an arrangement from unaffiliated parties.

IF WE USE CERTAIN INDEX CONTINGENCY REMEDIES IN CALCULATING THE REFERENCE CPI,
IT MAY ADVERSELY AFFECT THE AMOUNTS THAT WOULD OTHERWISE BE PAYABLE AT MATURITY
OR UPON REDEMPTION.

We will use the same index contingencies the Treasury Department uses for the
Reference TIPS (as described in 31 CFR 356 "Department of the Treasury Circular,
Public Debt Series No. 1-93" (the "U.S. Public Debt Circular")). These index
contingencies include how the Reference CPI will be affected by (1) revisions in
previously reported CPI levels, (2) rebasing of the CPI by the Bureau of Labor
Statistics to a new reference period, (3) material adverse changes, in the
judgment of the Treasury Secretary, to the CPI by legislation or Executive Order
or (4) delays in reporting the CPI. We will use the index contingency remedies
as pronounced by the Treasury Department even if such remedies produce lower
Reference CPI levels than might otherwise have occurred and adversely affect
holders of the CPIS. Determinations of the Treasury Secretary in this regard
will be final.

At present, according to the Treasury Department, only certain fundamental
changes are considered "index contingencies". For example, a change in the CPI
would be considered fundamental and become an index contingency if it affected
the character of the CPI. However, technical changes made by the Bureau of Labor
Statistics to the CPI to improve its accuracy as a measure of the cost of living
would not be considered fundamental. Technical changes include, but are not
limited to: (1) the specific items (e.g., apples or major appliances) priced for
the CPI; (2) the way individual price quotations are aggregated to construct
component price indices for these items, (3) the method for combining these
component price indices to obtain the comprehensive, all-items CPI and (4) the
procedures for incorporating new goods into the CPI and making adjustments for
quality changes in existing goods. Determinations by the Treasury Secretary as
to what constitutes a fundamental change and therefore what constitutes an index
contingency will be final.

For example, in September 2000, the Bureau of Labor Statistics reissued and
revised the previously published monthly CPI levels for the year 2000. The
reported index number for each month from January, 2000, through August, 2000,
was increased by 0.0 to 0.2 index points. Such revisions altered the previously
reported percentage change in the CPI from December, 1999, to August, 2000, from
2.6% to 2.7%. The Bureau of Labor Statistics said the revisions reflected an
error in adjusting for quality improvement when a housing unit changed its air
conditioning system. The error actually extended back to January, 1999, but
Bureau of Labor Statistics officials concluded that the impact on the 1999 data
would be too small to merit revising the whole series back that far (the change
would have affected each month's reported value by 0.1 at most). According to
the U.S. Public Debt Circular, a CPI revision would not change the Reference CPI
that has been already reported by the Treasury and thus the Treasury will
continue to use

                                       S-10
<PAGE>   11

the previously reported (lower) CPI levels. If such a CPI revision were to occur
in the future and affected a Reference CPI level used to determine a payment for
the CPIS, we would use the Reference CPI level used by the Treasury even if it
produced a lower valuation for the holder of the CPIS.

CHANGES AND IMPROVEMENTS IN CPI METHODOLOGY COULD REDUCE THE LEVEL OF INCREASE
IN THE CPI AND COULD LOWER THE VALUE OF THE CPIS.

The Bureau of Labor Statistics has made numerous changes and improvements to the
CPI over the last 25 years and is likely to continue to do so. Examples of
methodological improvements include the technical changes described in the
previous paragraph, the use of regression models to adjust for the quality
improvements in various goods (TVs, PCs, etc.), the introduction of geometric
averages to account for consumer substitution within CPI categories and changing
the housing/shelter formula to improve rental equivalence estimation. These and
future changes could reduce the level of increase in the CPI and could lower the
value of the CPIS. Determinations of the Treasury Secretary with regard to all
Reference CPI levels, contingencies and remedies, including possible changes due
to rebasing, will be final.

SINCE THE REFERENCE CPI IS LAGGED THREE MONTHS, THE PAYMENT AT MATURITY COULD BE
LESS THAN IF WE USED THE MOST RECENTLY PUBLISHED CPI LEVEL.

The Reference CPI level used to determine the payment at maturity on the CPIS is
the same Reference CPI level used in the Reference TIPS. The Reference TIPS and
the CPIS use a Reference CPI for the first day of each calendar month that is
the CPI for the third preceding calendar month. For example, the CPI that we use
for April 1 in any year is the CPI for January in such year, which is typically
reported in February of such year. The Reference CPI for any date other than the
first day of the month is determined by a linear interpolation between the CPI
for the first day of the month and the CPI on the first day of the next month.
The Reference CPI for January 15 in any year is the linear interpolation between
the CPI for the first day of the preceding October and the CPI for the first day
of the preceding November. Because the Reference CPI at maturity is not the most
recently published CPI level, the payment at maturity could be less than if the
most recently published CPI level at maturity was used.

GOVERNMENT AGENCIES COULD CHANGE THE CALCULATION OF THE CPI OR DECIDE INDEX
CONTINGENCIES WHICH ADVERSELY AFFECT THE HOLDERS OF THE CPIS.

We have no control over consumer prices, the Reference CPI or the agencies
involved in its calculation. These agencies could make changes to the
calculation of the CPI or decisions relating to Index Contingencies which could
adversely affect the holders of the CPIS. Also, the Treasury Department could
call its debt and reduce the amount of Reference TIPS outstanding. Currently
there are approximately $11 billion in Reference TIPS and $23 billion in
Reference Government Notes outstanding. A reduction of either such outstanding
Reference Treasury by 10% or more from their greatest outstanding amount as
measured from the issuance of the CPIS could cause us to fix the Ending Index
early. For more information concerning early determination of the Ending Index
and its effect on the CPIS, see "Description of CPIS--Early Determination of the
Ending Index".

CONSUMER PRICES CAN BE VOLATILE AND YOU SHOULD NOT RELY ON HISTORICAL CHANGES IN
THE CPI AS AN INDICATION OF FUTURE PERFORMANCE.

Consumer prices can be volatile. Historical changes in the CPI should not be
taken as an indication of future performance during the term of the CPIS. The
following tables set forth the monthly level of the CPI for the past 5 years and
the December year-end level since 1947 as published by the Bureau of Labor
Statistics. Potential investors in the CPIS should note that inflation has not
risen every year. Specifically, in 1949 the CPI fell 2.1% and in 1954 the CPI
fell 0.7%.

                                       S-11
<PAGE>   12

MONTHLY CPI LEVELS FROM 1995 AS REPORTED BY BUREAU OF LABOR STATISTICS

<TABLE>
<CAPTION>
                       ---------------------------------------------------------------------------------------------
                        JAN     FEB     MAR     APR     MAY     JUN     JUL     AUG     SEP     OCT     NOV     DEC
                       -----   -----   -----   -----   -----   -----   -----   -----   -----   -----   -----   -----
<S>                    <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>
1995                   150.3   150.9   151.4   151.9   152.2   152.5   152.5   152.9   153.2   153.7   153.6   153.5
1996                   154.4   154.9   155.7   156.3   156.6   156.7   157.0   157.3   157.8   158.3   158.6   158.6
1997                   159.1   159.6   160.0   160.2   160.1   160.3   160.5   160.8   161.2   161.6   161.5   161.3
1998                   161.6   161.9   162.2   162.5   162.8   163.0   163.2   163.4   163.6   164.0   164.0   163.9
1999                   164.3   164.5   165.0   166.2   166.2   166.2   166.7   167.1   167.9   168.2   168.3   168.3
2000                   168.8   169.8   171.2   171.3   171.5   172.4   172.8   172.8   173.7   174.0   174.1   174.0
2001                   175.1
</TABLE>

The above table shows the CPI for each month over the past five years as
reported by the Bureau of Labor Statistics. The Reference CPI is lagged three
months, so that, for example the Reference CPI for April 1 of any year would be
the January levels shown in the table for such year.

YEAR-END DECEMBER CPI LEVELS REPORTED BY BUREAU OF LABOR STATISTICS. ANNUAL
CHANGE AND 9-YEAR CHANGE.

<TABLE>
<CAPTION>
                       -------------------------
                                ANNUAL    9-YEAR
YEAR                    CPI     CHANGE    CHANGE
- ----                   -----    ------    ------
<S>                    <C>      <C>       <C>
1947                    23.4     --         --
1948                    24.1      3.0%      --
1949                    23.6     -2.1%      --
1950                    25.0      5.9%      --
1951                    26.5      6.0%      --
1952                    26.7      0.8%      --
1953                    26.9      0.7%      --
1954                    26.7     -0.7%      --
1955                    26.8      0.4%      --
1956                    27.6      3.0%     17.9%
1957                    28.4      2.9%     17.8%
1958                    28.9      1.8%     22.5%
1959                    29.4      1.7%     17.6%
1960                    29.8      1.4%     12.5%
1961                    30.0      0.7%     12.4%
1962                    30.4      1.3%     13.0%
1963                    30.9      1.6%     15.7%
1964                    31.2      1.0%     16.4%
1965                    31.8      1.9%     15.2%
1966                    32.9      3.5%     15.8%
1967                    33.9      3.0%     17.3%
1968                    35.5      4.7%     20.7%
1969                    37.7      6.2%     26.5%
1970                    39.8      5.6%     32.7%
1971                    41.1      3.3%     35.2%
1972                    42.5      3.4%     37.5%
1973                    46.2      8.7%     48.1%
</TABLE>

<TABLE>
<CAPTION>
                       -------------------------
                                ANNUAL    9-YEAR
YEAR                    CPI     CHANGE    CHANGE
- ----                   -----    ------    ------
<S>                    <C>      <C>       <C>
1974                    51.9     12.3%     63.2%
1975                    55.5      6.9%     68.7%
1976                    58.2      4.9%     71.7%
1977                    62.1      6.7%     74.9%
1978                    67.7      9.0%     79.6%
1979                    76.7     13.3%     92.7%
1980                    86.3     12.5%    110.0%
1981                    94.0      8.9%    121.2%
1982                    97.6      3.8%    111.3%
1983                   101.3      3.8%     95.2%
1984                   105.3      3.9%     89.7%
1985                   109.3      3.8%     87.8%
1986                   110.5      1.1%     77.9%
1987                   115.4      4.4%     70.5%
1988                   120.5      4.4%     57.1%
1989                   126.1      4.6%     46.1%
1990                   133.8      6.1%     42.3%
1991                   137.9      3.1%     41.3%
1992                   141.9      2.9%     40.1%
1993                   145.8      2.7%     38.5%
1994                   149.7      2.7%     37.0%
1995                   153.5      2.5%     38.9%
1996                   158.6      3.3%     37.4%
1997                   161.3      1.7%     33.9%
1998                   163.9      1.6%     30.0%
1999                   168.3      2.7%     25.8%
2000                   174.0      3.4%     26.2%
</TABLE>

- -------------------
Sources: Bureau of Labor Statistics and Morgan Guaranty. Both tables show the
         CPI for 1982-84 base period.

With respect to the foregoing CPI levels reported by Bureau of Labor Statistics,
past performance is not necessarily indicative of future performance and levels.

                                       S-12
<PAGE>   13

IF A MARKET DISRUPTION EVENT OCCURS, IT MAY DELAY THE DETERMINATION OR PAYMENT
OF AMOUNTS DUE UNDER THE CPIS.

Market Disruption Events may delay the determination of the amount of payment at
maturity or upon redemption. If a Market Disruption Event occurs on an Optional
Redemption Determination Date or at maturity, the payment of the Optional
Redemption Value or the payment at maturity may be postponed. Such delay could
be of indefinite duration, during which time a holder of the CPIS will not
receive the Optional Redemption Value or payment at maturity, as applicable, or
any additional interest or compensation for such delay.

In certain circumstances involving continuing Market Disruption Events, the
Calculation Agent may use its discretion to determine the Reference CPI. The
Reference CPI determined by the Calculation Agent under such circumstances may
be lower than the actual Reference CPI eventually reported (or determined by the
Treasury Department). This would result in investors receiving less than they
would otherwise have been entitled to receive. Such determinations by the
Calculation Agent will be final absent manifest error. See "Description of
CPIS--Market Disruption Events".

YOU SHOULD NOT RELY ON HISTORICAL CORRELATIONS OF THE CPI WITH RETURNS ON OTHER
SECURITIES WHEN MAKING YOUR INVESTMENT DECISIONS.

Although historically the CPI has shown some negative correlation with returns
on other securities, such as stocks and bonds, there can be no assurance that
such correlations will prevail in the future. For example, in periods of rising
inflation, returns on other securities have historically tended to decrease. As
a result, investors who invest in the CPIS in reliance on these correlations
should individually assess the likelihood of such correlations continuing. The
following table shows the correlation of quarterly percentage changes for two
10-year periods for the CPI versus the respective stock and bond index in the
table. The numbers presented are a statistic measuring the degree that the CPI
and the respective stock and bond index have moved in the same direction. A
correlation of 1 would indicate that the CPI and the respective index have moved
in the same direction, while a correlation of minus 1 would indicate that the
CPI and the respective index have moved in opposite directions.

CORRELATION OF QUARTERLY PERCENTAGE CHANGES FOR TWO 10-YEAR PERIODS, FOR CPI
VERSUS:

<TABLE>
<CAPTION>
                                                              --------------------
                                                              1981-90    1991-2000
                                                              -------    ---------
<S>                                                           <C>        <C>
U.S. large capitalization equities total return.............   -0.28       -0.16
U.S. Government bond index total return.....................   -0.45       -0.11
</TABLE>

- -------------------
Source: Morgan Guaranty

CHANGES IN LAWS OR REGULATIONS OR INTERPRETATIONS THEREOF COULD ADVERSELY AFFECT
THE HOLDERS OF THE CPIS.

The value of the CPIS is highly dependent upon the level of the CPI over time.
The CPI has been subject to public debate and congressional hearings in the past
and may continue to be so subject in the future. Also, new laws and regulations
could be passed which might adversely affect the CPI and thus adversely affect
the holders of the CPIS.

Additionally, upon the occurrence of certain events affecting the amount of
Reference Treasuries outstanding, we have the right to cause the Ending Index to
be fixed. Following such an event, the Ending Index will remain fixed and will
be used in calculating any payment upon redemption or at maturity.

WE CANNOT ASSURE YOU THAT THE CPIS WILL ADEQUATELY HEDGE AGAINST RISKS
ASSOCIATED WITH INFLATION.

Prospective purchasers of the CPIS who intend to hedge against the risk
associated with inflation should recognize the complexities of utilizing the
CPIS in this manner. Although the CPIS are designed to produce a pre-tax real
rate of return which rises and falls in conjunction with movements in the
Reference CPI level, the formulas under which payment upon redemption or at
maturity are calculated are not guaranteed to produce distributions to holders
having readily definable relationships with other CPI-indexed instruments and
products. There can be no assurance that the CPI level will rise at all during

                                       S-13
<PAGE>   14

the life of the instrument. Also, investing in the CPIS should not be considered
a complete investment program.

WE CANNOT BE CERTAIN OF THE TAX CONSEQUENCES ASSOCIATED WITH THE CPIS.

The U.S. federal income tax consequences of an investment in the CPIS are
complex and uncertain. Prospective purchasers may be required to accrue income
in each year over the life of the CPIS or pay tax based on the market value of
the CPIS each year, even though no cash will be paid on the CPIS until their
maturity or redemption. We expect that holders of the CPIS that are not U.S.
persons will be subject to withholding at a rate of 30% with respect to amounts
paid to them at maturity or upon redemption.

                                       S-14
<PAGE>   15

                      WHERE YOU CAN FIND MORE INFORMATION

We file annual, quarterly and current reports, proxy statements and other
information with the Commission. You may read and copy these documents at the
Commission's public reference room at Room 1024, Judiciary Plaza, 450 Fifth
Street, N.W., Washington, D.C. 20549, and at the Commission's regional offices
at Northeast Regional Office, Seven World Trade Center, Suite 1300, New York,
New York 10048 and Midwest Regional Office, Citicorp Center, 500 West Madison
Street, Suite 1400, Chicago, Illinois 60661. Copies of this material can also be
obtained from the Public Reference Room of the Commission at Judiciary Plaza,
450 Fifth Street, N.W., Washington, D.C. 20549 at prescribed rates. Please call
the Commission at 1-800-SEC-0330 for further information about the Public
Reference Room. The Commission also maintains an Internet website that contains
reports, proxy and information statements and other materials that are filed
through the Commission's Electronic Data Gathering, Analysis and Retrieval
(EDGAR) System. This website can be accessed at http://www.sec.gov. You can find
information we have filed with the Commission by reference to file number
1-5805. In addition, you may inspect our reports, proxy statements and other
information at the offices of the New York Stock Exchange, Inc., 20 Broad
Street, New York, New York 10005.

This prospectus supplement and the attached prospectus are part of a
registration statement we filed with the Commission. This prospectus supplement
and the attached prospectus omit some information contained in the registration
statement in accordance with Commission rules and regulations. You should review
the information and exhibits in the registration statement for further
information on us and our consolidated subsidiaries and the securities we are
offering. Statements in this prospectus supplement and the attached prospectus
concerning any document we filed as an exhibit to the registration statement or
that we otherwise filed with the Commission are not intended to be comprehensive
and are qualified by reference to these filings. You should review the complete
document to evaluate these statements.

The Commission allows us to incorporate by reference much of the information we
file with them, which means that we can disclose important information to you by
referring you to those publicly available documents. The information that we
incorporate by reference in this prospectus supplement and the attached
prospectus is considered to be part of this prospectus supplement and the
attached prospectus. Because we are incorporating by reference future filings
with the Commission, this prospectus supplement and the attached prospectus are
continually updated and those future filings may modify or supersede some of the
information included or incorporated in this prospectus supplement and the
attached prospectus. This means that you must look at all of the Commission
filings that we incorporate by reference to determine if any of the statements
in this prospectus supplement and the attached prospectus or in any document
previously incorporated by reference have been modified or superseded. This
prospectus supplement and the attached prospectus incorporate by reference the
documents listed below and any future filings we make with the Commission under
Section 13(a), 13(c), 14 or 15(d) of the Securities Exchange Act of 1934 until
we complete our offering of the securities to be issued under the registration
statement or, if later, the date on which any of our affiliates cease offering
and selling these securities:

- -  our Annual Report on Form 10-K for the year ended December 31, 1999;

- -  our Quarterly Reports on Form 10-Q for the quarters ended March 31, 2000,
   June 30, 2000 and September 30, 2000; and

- -  our Reports on Form 8-K filed January 21, 2000, February 9, 2000, March 22,
   2000, April 11, 2000, April 19, 2000, May 22, 2000, June 12, 2000, June 20,
   2000, July 20, 2000, August 3, 2000, September 18, 2000, October 19, 2000,
   November 1, 2000, November 28, 2000, November 29, 2000, December 1, 2000,
   December 14, 2000, December 26, 2000, January 4, 2001, January 24, 2001 and
   January 31, 2001.

You may request, at no cost to you, a copy of these documents (other than
exhibits to such documents) by writing or telephoning us at: Office of the
Secretary, J.P. Morgan Chase & Co., 270 Park Ave., New York, New York 10017-2070
(Telephone: (212) 270-4040).

                                       S-15
<PAGE>   16

More information about the Treasury Department's inflation-linked securities and
the Bureau of Labor Statistics determination and methodology for determining the
CPI may be found at www.publicdebt.treas.gov and www.bls.gov, respectively. All
information contained herein relating to the Reference CPI, the CPI and the
Bureau of Labor Statistics determination and methodology for determining the CPI
was derived from these sources.

                                       S-16
<PAGE>   17

                                USE OF PROCEEDS

We will use the net proceeds we receive from the sale of the CPIS offered by
this prospectus supplement for general corporate purposes and in connection with
hedging our obligations under the CPIS. General corporate purposes may include
additions to working capital, repayment of debt, investments in or extensions of
credit to our subsidiaries, or redemptions or repurchases of our stock. We may
temporarily invest the net proceeds or use them to repay short-term debt until
they are used for their stated purpose.

At the time of the pricing of the CPIS we hedged our anticipated exposure under
the CPIS and, subject to market conditions, we expect that we will continue to
hedge our exposure under the CPIS from time to time following the offering of
the CPIS by taking long and short positions directly or through some of our
affiliates in Reference Treasuries, U.S. Government Treasury Notes or in listed
or over-the-counter futures or options contracts or other derivative or
synthetic instruments related to the CPI. There can be no assurance that our
initial hedging did not, and that our continued hedging will not, affect the
price for CPIS, the Reference Treasuries, U.S. Government Treasury Notes or the
economic terms of the CPIS. In addition, we and some of our affiliates may from
time to time purchase or otherwise acquire a long or short position in the CPIS
and may, in our sole discretion, hold or resell the CPIS. We and some or our
affiliates may also take positions in U.S. Government Treasury Notes and in
other types of appropriate financial instruments that may become available in
the future. To the extent we have a long hedge position in the Reference
Treasuries or other derivative contracts or synthetic instruments related to the
CPI, we may liquidate a portion or all of our holdings, as applicable, at or
about the time of any Optional Redemption Date or upon maturity of the CPIS.
Depending on, among other things, future market conditions, the aggregate amount
and the composition of those positions are likely to vary over time. Profits or
losses from any such position cannot be ascertained until that position is
closed out and any offsetting position or positions are taken into account.
However, none of the contracts or securities acquired in connection with any
hedging activity will be held for the benefit of holders of the CPIS.

                                       S-17
<PAGE>   18

                            J.P. MORGAN CHASE & CO.

J.P. Morgan Chase & Co. ("J.P. Morgan Chase", which may be referred to as "we"
or "us") is a financial holding company incorporated under Delaware law in 1968.
As of December 31, 2000, after giving effect to the merger referred to below, we
were the second largest banking institution in the United States, with
approximately $715 billion in assets and approximately $42 billion in
stockholders' equity.

On December 31, 2000, J.P. Morgan & Co. Incorporated ("Heritage J.P. Morgan")
merged with and into The Chase Manhattan Corporation ("Chase"). Upon completion
of the merger, Chase changed its name to "J.P. Morgan Chase & Co." The merger
was accounted for as a pooling of interests.

We are a global financial services firm with operations in over 60 countries.
Our principal bank subsidiaries are:

        -  The Chase Manhattan Bank ("Chase Bank") and Morgan Guaranty Trust
           Company of New York ("Morgan Guaranty"), each of which is a New York
           banking corporation headquartered in New York City; and

        -  Chase Manhattan Bank USA, National Association, headquartered in
           Delaware.

Our principal non-bank subsidiaries are our investment bank subsidiaries, Chase
Securities Inc. ("Chase Securities") and J.P. Morgan Securities Inc. ("J.P.
Morgan Securities"). We expect Chase Bank to merge with Morgan Guaranty in July
2001 and Chase Securities to merge with J.P. Morgan Securities in April 2001.

Our activities will be internally organized, for management reporting purposes,
into five major businesses:

        -  Investment Banking;

        -  Investment Management and Private Banking;

        -  Treasury & Securities Services;

        -  J.P. Morgan Partners; and

        -  Retail and Middle Market Banking.

Below is a brief description of those businesses.

INVESTMENT BANKING

Investment Banking includes our securities underwriting and financial advisory,
trading, mergers and acquisitions advisory, and corporate lending and
syndication businesses.

INVESTMENT MANAGEMENT AND PRIVATE BANKING

Investment Management and Private Banking includes our asset management
business, including our mutual funds; our institutional money management and
cash management businesses; and our private bank, which provides wealth
management solutions for a global client base of high net worth individuals and
families.

TREASURY & SECURITIES SERVICES

Treasury & Securities Services is a recognized leader in information and
transaction processing services, moving trillions of dollars daily in securities
and cash for its wholesale clients. Treasury & Securities Services includes our
custody, cash management, trust and other fiduciary services businesses.

J.P. MORGAN PARTNERS

J.P. Morgan Partners is one of the world's largest and most diversified private
equity investment firms, with total funds under management in excess of $20
billion.

RETAIL AND MIDDLE MARKET BANKING

Retail and Middle Market Banking serves over 30 million consumers, small
business and middle-market customers nationwide. Retail and Middle Market
Banking offers a wide variety of financial products and services, including
consumer banking, credit cards, mortgage services and consumer finance services,
through a diverse array of distribution channels, including the internet and
branch and ATM networks.

                                       S-18
<PAGE>   19

                              DESCRIPTION OF CPIS

The following description of the particular terms of the CPIS supplements the
description of the general terms of the senior debt securities set forth under
the headings "Description of Debt Securities--General" and "--Senior Debt
Securities" in the attached prospectus. Capitalized terms used but not defined
in this prospectus supplement have the meanings assigned in the attached
prospectus or the senior indenture referred to below.

SUMMARY

The CPIS are a series of senior debt securities referred to in the attached
prospectus (which senior debt securities we refer to in the prospectus
supplement as the CPIS). The CPIS will be issued under a senior indenture dated
December 1, 1989 between us and Bankers Trust Company, as trustee, and will be
initially limited to $15,000,000 aggregate principal amount.

The CPIS pay no interest and do not guarantee any return of principal at
maturity. Instead, at maturity, we will pay to a holder of CPIS an amount based
on the cumulative increase, if any, in the CPI on a three-month lagged basis
over the term of the CPIS calculated in accordance with the formula set out
below. As a result, if inflation is negative or zero over the life of the CPIS,
the payment at maturity will be zero. The amount payable at maturity per $1,250
principal amount of the CPIS is the sum of $1,948.42 plus an amount equal to the
product of the Multiplier times the Index Amount (which is equal to the Ending
Index minus the Forward Index), which amount may be positive or negative. Such
payment at maturity may be more or less than the principal amount but may not be
less than zero. The CPIS mature on January 15, 2010, unless such date is
extended due to a Market Disruption Event as described below under "--Market
Disruption Events". We have the right, however, to issue additional CPIS in the
future. These additional CPIS will have the same terms as the CPIS being offered
but may be offered at a different aggregate principal amount and initial
offering price than the CPIS being offered. If issued, these additional CPIS
will become part of the same series as the CPIS being offered.

The CPIS may be redeemed annually at the option of the holder on each January
15, beginning January 15, 2003. The amount payable on redemption will be
determined by estimating what the Ending Index would have been at maturity using
then current market inputs and the methodology described herein (the "Early
Ending Index"). We will use that Early Ending Index to estimate what the payment
at maturity would have been had the CPIS been held to maturity and then
determine the present value of that amount. Such Optional Redemption Value may
be more or less than the principal amount of the CPIS but may not be less than
zero. See "--The Consumer Price Index" for more information on the CPI and
"--Optional Redemption" for more details on the calculation of the Optional
Redemption Value.

Upon the occurrence of any Reference Treasury Event as defined herein, the
Ending Index may be permanently fixed (the "Fixed Ending Index") thereby fixing
the amount repayable at maturity or upon redemption. Upon a Reference Treasury
Event, we have the right but not the obligation to determine the Fixed Ending
Index in the same manner as the Early Ending Index. Once fixed, the Fixed Ending
Index shall be used to determine any payment at maturity or upon redemption. See
"--Early Determination of the Ending Index".

As described herein, the Reference CPI is the CPI level used to adjust the
inflation-indexed principal amount in the Reference TIPS. Such Reference CPI is
a three-month lagged version of the CPI, subject to adjustment as described
herein. Although the CPIS use the same Reference CPI as the Reference TIPS,
unlike the Reference TIPS, the CPIS are full principal-at-risk securities.

We will make all payments due upon maturity or redemption in immediately
available funds. All sales of the CPIS, including secondary market sales, will
settle in immediately available funds.

The CPIS may be issued in denominations of $1,250 and integral multiples
thereof. The CPIS will be represented by one or more permanent global CPIS
registered in the name of DTC or its nominee, as described under "Description of
Debt Securities--Permanent Global Debt Securities" in the attached prospectus.

GENERAL

The CPIS will be issued by J.P. Morgan Chase & Co. and will have an initial
offering price and principal amount of $1,250 per CPIS. No interest will be paid
on the CPIS.

                                       S-19
<PAGE>   20

PAYMENT AT MATURITY

Unless previously redeemed at the option of the holder, the CPIS will mature on
January 15, 2010, unless that date is extended due to a Market Disruption Event
as described under "--Market Disruption Events". At maturity, the holders of the
CPIS will be entitled to receive an amount in cash per each $1,250 principal
amount of CPIS equal to:

        -  the sum of $1,948.42 plus the product of the Multiplier times the
           Index Amount (which equals the Ending Index minus the Forward Index);
           or

        -  $1,948.42 + (57.30659 X (Ending Index - 208.50));

provided that the above amount cannot be less than zero. (Note that it is
possible for the Ending Index to be less than the Forward Index; if the
Reference CPI decreases or does not increase by at least 12.5% over the life of
the CPIS, the CPIS may pay less than the principal amount or nothing at all.)
The amount payable at maturity pursuant to this formula is equivalent to the
cumulative percentage increase in the Reference CPI over the life of the CPIS
multiplied by $10,000.

The Ending Index is the Reference CPI level at maturity and the same Reference
CPI used to calculate the inflation indexed principal in the Reference TIPS.
Thus, the Reference CPI for the first day of any calendar month is the CPI for
the third preceding calendar month, as reported by the Bureau of Labor
Statistics in the second preceding calendar month. The Reference CPI for any day
in a month other than the first day of such month is the linear interpolation
between the Reference CPI for the first day of the month and the first day of
the immediately following month. For example, the Reference CPI for January 15
in any year is the linear interpolation between the CPI for the first day of the
preceding October and the CPI for the first day of the preceding November. Thus,
the Ending Index should be determinable prior to maturity. The determination of
the Reference CPI is subject to various Index Contingencies. See "--The Consumer
Price Index--Index Contingencies" for further details.

The Forward Index is 208.50 and was set on the day of pricing. It is
approximately 34.0 points higher than the level of the Reference CPI at pricing.
The CPI must rise an average of approximately 2.04% per year until maturity to
reach the Forward Index.

If at maturity, a Market Disruption Event shall have occurred and be continuing,
the maturity date shall be the next day on which there no longer exists a Market
Disruption Event as determined by the Calculation Agent in its sole discretion.
See "--Market Disruption Events".

  HYPOTHETICAL ENDING INDEX LEVELS

Over the past 50 years, the 9-year CPI change has varied from approximately 12%
to 121%. There can be no assurance however that the actual CPI change and
consequently the Reference CPI change over the life of the CPIS will be in this
range or that the Reference CPI will rise at all.

The graph and table below illustrate, for a range of hypothetical Ending Index
levels at maturity of the CPIS (assuming a term of 8 years and 10 months, a
principal amount of $1,250, a Reference CPI at issuance of 174.50, a Multiplier
of 57.30659 and a Forward Index of 208.50), the following:

        -  the change in the Reference CPI level over the life of the CPIS,

        -  the implied annual compound inflation rate over the life of the CPIS
           to achieve the Ending Index level,

        -  the hypothetical payment at maturity,

        -  the hypothetical pre-tax rate of return on the CPIS, and

        -  the hypothetical pre-tax real rate of return on the CPIS (derived by
           discounting the hypothetical payment at maturity by the increase in
           the CPI to create a deflated or "real" payment at maturity to be used
           to calculate a real rate of return).

                                       S-20
<PAGE>   21

 [Graph Sharing Hypothetical Payment at Maturity for Corresponding Hypothetical
                      Ending Index and Percentage Change.]


<TABLE>
<CAPTION>
               PERCENTAGE                       HYPOTHETICAL
HYPOTHETICAL   CHANGE IN    IMPLIED INFLATION    PAYMENT AT      PRETAX      PRETAX CPIS
ENDING INDEX     INDEX        RATE PER YEAR       MATURITY     CPIS IRR(A)   REAL IRR(B)
- ------------   ----------   -----------------   ------------   -----------   -----------
<S>            <C>          <C>                 <C>            <C>           <C>
   139.6          -20%            -2.49%               --        -100.0%       -100.0%
   157.1          -10%            -1.19%               --        -100.0%       -100.0%
   174.5            0%             0.00%               --        -100.0%       -100.0%
   192.0           10%             1.08%          $ 1,000          -2.5%         -3.5%
   196.3         12.5%             1.34%          $ 1,250           0.0%         -1.3%
   209.4           20%             2.09%          $ 2,000           5.5%          3.3%
   226.9           30%             3.01%          $ 3,000          10.4%          7.2%
   244.3           40%             3.88%          $ 4,000          14.1%          9.8%
   261.8           50%             4.70%          $ 5,000          17.0%         11.7%
   279.2           60%             5.46%          $ 6,000          19.4%         13.2%
   296.7           70%             6.19%          $ 7,000          21.5%         14.4%
   314.1           80%             6.88%          $ 8,000          23.4%         15.4%
   331.6           90%             7.54%          $ 9,000          25.0%         16.3%
   349.0          100%             8.16%          $10,000          26.5%         17.0%
   366.5          110%             8.76%          $11,000          27.9%         17.6%
   383.9          120%             9.34%          $12,000          29.2%         18.2%
</TABLE>

- -------------------

[FORMULA]

<TABLE>
<S>                <C>                          <C>    <C>
                                                 1
                                              -------
                    ( Payment at Maturity )     term
                   --------------------------
(a) Pre-tax IRR =  ( Initial Offering Price )          - 1
</TABLE>


[FORMULA]

<TABLE>
<S>                     <C>  <C>                          <C>  <C>    <C>
                                                                1
                                                             -------
                         (    ( Payment at Maturity )      )   term
                              -----------------------
(a) Pre-tax Real IRR =   (    ( 1 + Change in Index )      )          - 1
                         -----------------------------------
                         (   ( Initial Offering Price )    )
</TABLE>

                                       S-21
<PAGE>   22

The above table is for illustrative purposes only. The actual payment at
maturity and the resulting total, pre-tax nominal rate of return, and pre-tax
real rate of return will depend entirely on the actual Reference CPI at maturity
determined in accordance with the terms of the CPIS.

THE CONSUMER PRICE INDEX

The CPIS are indexed to the same Reference CPI used to calculate the inflation
indexed principal in the 4.25% Treasury Inflation Protected Securities due
January 15, 2010, issued by the United States Department of the Treasury (the
"Reference TIPS"). The CPI for these purposes is the non-seasonally adjusted
U.S. City Average All Items Consumer Price Index published monthly by the Bureau
of Labor Statistics of the U.S. Department of Labor. The Bureau of Labor
Statistics makes available almost all CPI data and press releases immediately at
the time of release. This material is accessible via the World Wide Web at
www.bls.gov.

The CPI is a measure of the average change in consumer prices over time in a
fixed market basket of goods and services, including food, clothing, shelter,
fuels, transportation, charges for doctors' and dentists' services, and drugs.
User fees (such as water and sewer service) and sales and excise taxes paid by
the consumer are also included. Income taxes and investment items such as
stocks, bonds, and life insurance are not included. The CPI includes
expenditures by urban wage earners and clerical workers, professional,
managerial, and technical workers, the self-employed, short-term workers, the
unemployed, retirees and others not in the labor force. In calculating the CPI,
price changes for the various items are averaged together with weights that
represent their importance in the spending of urban households in the United
States. The contents of the market basket of goods and services and the weights
assigned to the various items are updated periodically to take into account
changes in consumer expenditure patterns. The CPI is expressed in relative terms
based on a reference period for which the level is set at 100 (currently the
base reference period used by the Bureau of Labor Statistics is 1982-1984). For
example, because the CPI for the 1982-84 reference period is 100, an increase of
16.5 percent from that period would be shown as 116.5.

The Bureau of Labor Statistics has made numerous technical and methodological
improvements and changes to the CPI over the last 25 years, and it is likely to
continue to do so. Technical changes include those described under "--Index
Contingencies" below. Examples of recent methodological improvements include the
use of regression models to adjust for the quality improvements in various goods
(TVs, PCs, etc.), the introduction of geometric averages to account for consumer
substitution within CPI categories, and changing the housing/shelter formula to
improve rental equivalence estimation. These changes and any future changes
could reduce the level of the CPI and hence lower the payments at maturity or
upon redemption of the CPIS.

The Bureau of Labor Statistics occasionally rebases the CPI. The current
standard reference base period is 1982-1984 = 100. The CPI was last rebased in
January, 1988. Prior to the release of the CPI for January 1988, the standard
reference base was 1967 = 100. If the Bureau of Labor Statistics rebases the CPI
during the time the CPIS are outstanding, we will continue to calculate the
Reference CPI using the existing base year in effect for the CPI at the time of
issuance of the CPIS as long as the old CPI is still published. The conversion
to a new reference base does not affect the measurement of the percent changes
in a given index series from one time period to another, except for rounding
differences. Thus, rebasing might affect the published "headline" number often
quoted in the financial press; however, the Reference CPI calculation for the
CPIS should not be adversely affected by any such rebasing because the old-based
CPI can be calculated by using the percent changes of the new rebased CPI to
calculate the levels of the old CPI (because the two series should have the same
percent changes). See "--Index Contingencies" below.

  REFERENCE CPI

The Reference CPI for the first day of any calendar month is the CPI for the
third preceding calendar month, as is usually reported by the Bureau of Labor
Statistics in the second preceding calendar month. The Reference CPI for any day
of the month other than the first day of such month is the linear interpolation
between the Reference CPI for the first day of the month and the first day of
the immediately following month. For example, the Reference CPI for January 15
in any year is the linear

                                       S-22
<PAGE>   23

interpolation between the CPI for the first day of the preceding October and the
CPI for the first day of the preceding November. Thus the Ending Index at
maturity should be determinable prior to maturity.

The formula for the Reference CPI for a specific date using linear interpolation
is:

<TABLE>
<S>                   <C>  <C>                <C>  <C>  <C>      <C>  <C>
                                                         t - 1
Reference CPI (Date)  =    Reference CPI (M)  +     (   ------    )   (Reference CPI (M + 1) - Reference CPI (M)).
                                                           D
</TABLE>

Where:

- -  Reference CPI(Date) = the determination date;

- -  D - the number of days in the month in which the Reference CPI(Date) falls;

- -  t = the calendar day corresponding to the Reference CPI(Date);

- -  Reference CPI(M) = Reference CPI for the first day of the calendar month in
   which the Reference CPI(Date) falls;

- -  Reference CPI(M + 1) = Reference CPI for the first day of the calendar month
   immediately following the Reference CPI(Date).

For example, the Reference CPI for April 15, 1996 is calculated as follows:

<TABLE>
<S>                      <C>  <C>                      <C>  <C>  <C>        <C>  <C>
                                                                  15 - 1
Reference CPI            =    Reference CPI            +     (    -------    )   (Reference CPI (May 1, '96) - Reference CPI
(April 15, '96)               (April 1, '96)                        30           (April 1, '96)).
</TABLE>

Where:

- -  D = 30;

- -  t = 15;

- -  Reference CPI(April 1, 1996) = 154.40, the non-seasonally adjusted CPI for
   January 1996;

- -  Reference CPI(May 1, 1996) = 154.90, the non-seasonally adjusted CPI for
   February 1996.

Putting these values in the equation above:

<TABLE>
        <S>                        <C>  <C>     <C>  <C>  <C>      <C>  <C>
                                                            14
        Reference CPI              =    154.40  +     (   ------    )   (154.90 - 154.40), or
        (April 15, '96)                                     30
</TABLE>

        Reference CPI(April 15, '96) = 154.633333.

For the CPIS, we will round such level to two decimal places or 154.63 in the
above example. For purposes of interpolation, calculations with regard to the
Reference CPI by the U.S. Treasury Department for a specific date are truncated
to six decimal places and rounded to five decimal places.

The above figures are for illustrative purposes only.

 INDEX CONTINGENCIES

We will use the same Index Contingencies that the Treasury Department uses for
the Reference TIPS (as described in the U.S. Public Debt Circular). These Index
Contingencies include how the Reference CPI will be affected by (1) revisions in
previously reported CPI levels, (2) rebasing of the CPI by the Bureau of Labor
Statistics to a new reference period, (3) material adverse changes to the CPI by
legislation or Executive Order, as determined by the Treasury Secretary, or (4)
delays in reporting the CPI. We will use the Index Contingency remedies as
pronounced by the Treasury Department even if such remedies produce lower
Reference CPI levels than might otherwise have occurred, which in turn may
adversely affect holders of the CPIS. Determinations of the Treasury Secretary
in this regard will be final.

According to the Treasury Department, only certain fundamental changes in the
CPI are considered "Index Contingencies". A change in the CPI would be
considered fundamental and become an Index Contingency if it affected the
character of the CPI. However, according to the Treasury Department, technical
changes made by the Bureau of Labor Statistics to the CPI to improve its
accuracy as a measure of the cost of living would not be considered fundamental
and so would not be Index Contingencies.
                                       S-23
<PAGE>   24

Technical changes include, but are not limited to changes in: (1) the specific
items (e.g., apples or major appliances) to be priced for the CPI, (2) the way
individual price quotations are aggregated to construct component price indices
for these items, (3) the method for combining these component price indices to
obtain the comprehensive, all-items CPI, and (4) the procedures for
incorporating new goods into the CPI and making adjustments for quality changes
in existing goods. Determinations by the Treasury Secretary as to what
constitutes a fundamental change will be final.

Fundamental changes or events which constitute Index Contingencies and how such
contingencies will be treated will follow the Treasury Department's rules
concerning Index Contingencies and its Reference TIPS. Currently, as listed in
the U.S. Public Debt Circular, these include:

- -  If a previously reported CPI is revised by the Bureau of Labor Statistics,
   the Treasury will continue to use the previously reported CPI and not the
   revised CPI.

- -  If the CPI is rebased to a different year, the Treasury Department will
   continue to use the CPI based on the base reference period in effect when the
   security (in this case, the Reference TIPS) was first issued, as long as that
   CPI continues to be published by the Bureau of Labor Statistics.

- -  If the applicable CPI is (1) discontinued, (2) in the judgment of the
   Treasury Secretary, fundamentally altered in a manner materially adverse to
   the interests of an investor in the Reference TIPS or (3) in the judgment of
   the Treasury Secretary, altered by legislation or Executive Order in manner
   materially adverse to the interests of an investor in the Reference TIPS, the
   Treasury Department, after consulting with the Bureau of Labor Statistics or
   any successor agency, will substitute an appropriate alternative index. The
   Treasury Department will then notify the public of the substitute index and
   how it will be applied. Determinations of the Treasury Secretary in this
   regard will be final.

- -  If the CPI for a particular month is not reported by the last day of the
   following month, the Treasury Department will announce an index number based
   on the last twelve-month change in the CPI available. Any calculations of the
   Treasury Department's payment obligations on the Reference TIPS that rely on
   that month's CPI will be based on the index number that the Treasury
   Department has announced.

For example, if the CPI for a particular month M is not reported on a timely
basis by the last day of the following month, the formula for calculating the
index number used by the Treasury Department for Reference TIPS is:

CPI(M) = CPI(M - 1) X (CPI(M - 1)/CPI(M  - 13))(1/12).

Generalizing for the last reported CPI issued N months prior to month M:

CPI(M) = CPI(M - N) X (CPI(M - N)/CPI(M - N - 12))(N/12).

If it is necessary to use these formulas to calculate an index number, it will
be used for all subsequent calculations that rely on that month's index number
and will not be replaced by the actual CPI when it is reported (except that when
it becomes necessary to use the above formulas to derive an index number, the
last CPI that has been reported will be used to calculate CPI numbers for months
which the CPI has not been timely reported).

Using the historical data in the following table, we can look at an example of
how the Reference CPI would be calculated assuming the Bureau of Labor
Statistics delayed reporting the CPI and the Treasury Department determined the
applicable Reference CPI using the above formula:

  HISTORICAL CPI FOR EACH MONTH

<TABLE>
<CAPTION>
         JAN     FEB     MAR     APR     MAY     JUN     JUL     AUG     SEP     OCT     NOV     DEC
        -----   -----   -----   -----   -----   -----   -----   -----   -----   -----   -----   -----
<S>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>     <C>
1997    159.1   159.6   160.0   160.2   160.1   160.3   160.5   160.8   161.2   161.6   161.5   161.3
1998    161.6   161.9   162.2   162.5   162.8   163.0   163.2   163.4   163.6   164.0   164.0   163.9
</TABLE>

Assume the December 1998 level as reported by the Bureau of Labor Statistics
(usually reported one month later in January 1999) was delayed and not reported
as of February 1, 1999. Because the Reference

                                       S-24
<PAGE>   25

CPI is lagged three months, the Reference CPI for March 1999 is the December
1998 level. If the Bureau of Labor Statistics delayed publishing such level, the
Treasury Department would have determined the Reference CPI for March 1999 using
the above general formula. Since the delay is just 1 month, the formula is:

CPI(Dec 1998) = (CPI(Nov 1998)) X (CPI(Nov 1998)/CPI(Nov 1997))(1/12).

Thus, if the Bureau of Labor Statistics had failed to publish the CPI for
December 1998 in a timely manner, the Reference CPI for March 1999 would have
been:

164.0 X (164.0/161.5)(1/12) = 164.21.

Such a delay in reporting of the CPI will only affect the CPIS if such delayed
CPI level would affect a Reference CPI used for the calculation of the payment
at maturity, Early Ending Index or Fixed Ending Index.

The above figures are for illustrative purposes only. Again, determinations of
the Treasury Secretary as to what constitutes an Index Contingency and its
remedies will be final.

OPTIONAL REDEMPTION

Beginning in 2003, the CPIS will be subject to redemption prior to their
maturity at the election of the holders thereof on each January 15 (each an
"Optional Redemption Date") for the Optional Redemption Value calculated as set
forth below. In order to exercise the redemption right, any redeeming holder
will be required to provide notice to us of the aggregate principal amount of
CPIS to be redeemed by such holder on such Optional Redemption Date.

If a Market Disruption Event shall have occurred on the Optional Redemption
Determination Date, which shall be the fifth business day prior to the
applicable Optional Redemption Date, the Optional Redemption Determination Date
shall be the first subsequent day on which there no longer exists a Market
Disruption Event as determined by the Calculation Agent in its sole discretion.

The Optional Redemption Value will be determined by estimating what the Ending
Index would have been at maturity, using then current market inputs and the
methodology described herein. The Forward Index will then be subtracted from
this Early Ending Index, the result of which will be multiplied by the
Multiplier (which result may be a negative number) and this result will be added
to $1,948.42, giving an estimate of what the payment would have been at
maturity. The present value of this amount is the Optional Redemption Value for
each $1,250 principal amount of CPIS. However, in no case will this amount be
less than zero.

The Optional Redemption Value is a conservative estimate of the present value of
the forecasted amount that would be paid at maturity using current interest
rates and credit spreads for discounting. The formula for determining the Early
Ending Index is conservatively determined and includes a 30 basis point per
annum redemption fee which further reduces the value determined. Because of the
conservatism, investors should be aware that it is likely, under
usually-prevailing market conditions, that the Optional Redemption Value will be
less than the amount a holder could have realized by selling such CPIS on such
Optional Redemption Determination Date (excluding commission costs) in any
secondary market that may exist.

The Optional Redemption Value ("ORV") for each $1,250 principal amount of CPIS
will be determined using the following formula:

ORV = ($1,948.42 - M X (EI(Early) - FI)) X PVF.

Where:

- -  M = Multiplier = 57.30659;

- -  EI(Early) = Early Ending Index (derived below);

- -  FI = Forward Index = 208.50;

- -  PVF = Present Value Factor (derived below).

                                       S-25
<PAGE>   26
EI(Early), is derived using the formula: EI(Early) = RCPI X FIF.

Where:

- -  RCPI = Reference CPI on the Optional Redemption Determination Date;

- -  FIF = Future Inflation Factor (derived below);

FIF is derived using the formula: (1 + EIR)(N).

Where:

N = Number of years remaining until maturity
(2N = 2 X N);

- -  EIR = Expected Inflation Rate (derived below).

   [FORMULA]

<TABLE>
<CAPTION>

<S>                                        <C>  <C>  <C>                      <C>  <C>   <C>
                                            (                  BY              )   2
                                            (                1+ --             )
EIR = is derived using the formula: EIR =   (                  2               )
                                            (----------------------------------)
                                            (        TY  Redemption Fee        )
                                            (   1+   -- + ------------         )         -1.
                                            (        2       2                 )
</TABLE>

Where:

- -  BY = Base Yield = The ask side yield on the Reference Government Notes as
   determined by polling 3 dealers in such instruments, one of which may be
   Morgan Guaranty;

- -  TY = TIPS Yield = The bid side yield on the Reference TIPS as determined by
   polling 3 dealers in such instruments, one of which may be Morgan Guaranty;

- -  Redemption Fee = 30 basis points (0.30%).

The Expected Inflation Rate (EIR) is derived from the Fischer Relation, which
states:

(1 + Nominal Rate) = (1 + Real Rate) X (1 + Expected Inflation Rate). In this
case, we are using the yield on the Reference Government Notes as a proxy for
the Nominal Rate and the yield on the Reference TIPS as a proxy for the Real
Rate. Thus, the expected inflation rate is readily determinable. (Note, because
the convention in the U.S. for quoting yields assumes semi-annual compounding,
each yield must be divided by 2 and the results squared).

                                   [FORMULA]
<TABLE>
<CAPTION>

<S>                                              <C>  <C>  <C>  <C>  <C>                      <C>  <C>   <C>   <C>  <C>  <C>
                                                  (         (                  BY              )   2            )    N
                                                  (         (                1+ --             )                )
So, substituting the EIR into the FIF equation:   (   1 +   (                  2               )         -1     )         ,
                                                  (         (----------------------------------)                )
                                                  (         (        TY  Redemption Fee        )                )
                                                  (         (   1+   -- + ------------         )                )
                                                  (         (        2       2                 )                )
</TABLE>

<TABLE>
<CAPTION>

<S>                           <C>  <C>  <C>                      <C>  <C>   <C>
                               (                  BY              )   2N
                               (                1+ --             )
which simplifies to (FIF =):   (                  2               )
                               (----------------------------------)
                               (        TY  Redemption Fee        )
                               (   1+   -- + ------------         )         .
                               (        2       2                 )
</TABLE>

<TABLE>
<CAPTION>

<S>                                     <C>  <C>  <C>                      <C>  <C>   <C>
                                         (                  BY              )   2N
                                         (                1+ --             )
Thus, the EI early becomes: R C P I X    (                  2               )
                                         (----------------------------------)
                                         (        TY  Redemption Fee        )
                                         (   1+   -- + ------------         )         .
                                         (        2       2                 )
</TABLE>

Present Value Factor is derived as follows:

<TABLE>
<CAPTION>

<S>                          <C> <C>  <C>         <C>  <C>               <C> <C>  <C>
PVF = Present Value Factor:                           1
                                --------------------------------------------        .
                                      Zero Yield       Applicable Spread
                             (   1+   ----------   +   -----------------   ) (2N)
                                          2                    2
</TABLE>

                                       S-26
<PAGE>   27

Where:

- -  Zero Yield = The semiannual compound rate implied in the discount factor to
   maturity determined by the Calculation Agent by polling 3 swap dealers, one
   of which may be Morgan Guaranty. The discount factor represents the value the
   swap dealers would pay today for the right to receive $1 at maturity. Zero
   Yield solves the equation:

<TABLE>
  <C>                <S> <C>  <C>        <C> <C>  <C>
  discount factor =               1
                        -------------------- (2N)  .
                              Zero Yield
                     (   1+   ----------   )
                                  2
</TABLE>

- -  The "Applicable Spread" will equal (1) in the case of a liquidation of J.P.
   Morgan Chase & Co., zero, or (2) in the case of all other redemptions, the
   greater of zero and the difference between the Funding Spread and the Swap
   Spread. If the Swap Spread is greater than the Funding Spread then the
   Applicable Spread will be zero.

- -  Swap Spread refers to the difference between the swap rate for a given
   maturity and the yield of the benchmark government bond in that maturity
   sector. The "Swap Spread" for these purposes will be equal to the offer side
   U.S. dollar swap spread for the maturity closest to the remaining maturity as
   determined by the Calculation Agent (except that, in the case of a
   determination for which the remaining maturity is one year or less, the Swap
   Spread will be the difference between then current yields on U.S. Dollar
   LIBOR-based deposits and yields on Treasury Bills with maturities
   approximately equal to the remaining maturity as determined by the
   Calculation Agent).

- -  The Funding Spread shall be the yield spread between (1) the average
   quotations from three dealers in such instruments chosen in the discretion of
   the Calculation Agent, one of which may be Morgan Guaranty, for notional
   issuances of debt securities by J.P. Morgan Chase & Co. in a notional amount
   equal to the aggregate principal amount of the CPIS being redeemed at such
   time (or, if such notional amount is smaller than commercially practicable,
   the smallest commercially practicable amount) and (2) US government
   securities of approximately similar maturities, as such yield spread may be
   reasonably determined by the Calculation Agent.

- -  If the source supplying any of the yield or spread data is unavailable or
   ceases to report such data, the Calculation Agent shall calculate such yield
   or spread in good faith.

[FORMULA]

<TABLE>
<S>         <C>            <C>     <C>                 <C>             <C>        <C>
                                        (                         ) 2N
                                        (              BY         )
                                        (           1+=====       )
                                        (               2         )                                1
Thus ORV = ( $1,948.42 + M x   ( RCPI x ( ======================= )  -FI ) ) x ===========================================,
                                        (    TY    Redemption Fee )               Zero Yield    Applicable Spread     2N
                                        (1 + === + ============== )           ( 1 =========== + ==================)
                                        (     2          2        )                     2                 2
                                                     (        BY                 )
                                                     (   1 + =====               ) 2N
                                                     (         2                 )
                           $1,948.42  + M x ( RCPI x ( ========================= )      -FI )
                                                     (    TY    Redemption Fee   )
                                                     (1 + ==== + =============== )
                                                     (     2           2         )
which simplifies to (ORV =): ======================================================.
                                     Zero Yield     Applicable Spread     2N
                               ( 1 + =========== + ==================== )
                                         2                  2
</TABLE>

The Reference CPI on the applicable Optional Redemption Determination Date will
be determined for such day by interpolation as described in "-- The Consumer
Price Index -- Reference CPI".

For all interim calculations we will round to 6 decimals. The final result (the
Optional Redemption Value) will be rounded to 2 decimals.

                                       S-27
<PAGE>   28

  HYPOTHETICAL OPTIONAL REDEMPTION

An example calculation of the Optional Redemption Value for each $1,250
principal amount of CPIS is as follows:

Assumptions:

- -  Forward Index = 208.50;

- -  Multiplier = 57.30659;

- -  Reference CPI on the Optional Redemption Determination Date = 185;

- -  Remaining Term (years) = 7;

- -  Base Yield = 6.1%;

- -  TIPS Yield = 4.1%;

- -  Zero Yield = 6.85%;

- -  Applicable Spread = 0.05%;

- -  Redemption Fee = 30 basis points (0.30%).

[FORMULA]

<TABLE>
<CAPTION>

<S>                         <C> <C> <C>         <C> <C> <C>
                             (         0.061     )  2x7
                             (      1+ ----      )
                                                        , which equals 207.75.
Thus, the EI Early = 185 X   (           2       )
                             (-------------------)
                             (      0.041 0.003  )
                             (  1+               )
                                    ---- + ------
                             (        2       2  )
</TABLE>

<TABLE>
<CAPTION>

<S>        <C> <C> <C>     <C>  <C>    <C> <C>   <C>
The PVF =                   1                    , or 0.621975.
               ----------------------------
                   0.0685       0.0005
           (   1+  ------    +  ------   ) (2x7)
                     2            2
</TABLE>

As a result, for each $1,250 principal amount of CPIS, ORV = ($1,948.42 +
57.30659 X (207.75 - 208.50)) X 0.621975, which equals $1,185.14.

The above figures are for illustrative purposes only.

EARLY DETERMINATION OF THE ENDING INDEX

If either of the Reference Treasuries is subject to a buyback or is called by
the Treasury Department, or if the outstanding amount of either such Reference
Treasury is

- -  reduced by 10% or more from the greatest outstanding amount since issuance of
   the CPIS (a "First Reference Treasury Event"), or

- -  subsequently reduced by 10% from the amount outstanding at the time of the
   First Reference Treasury Event or any subsequent reduction (a "Subsequent
   Reference Treasury Event"),

then we have the right, but not the obligation, on such date or within 30 days
of such date, to permanently fix the Ending Index (the "Fixed Ending Index"). We
refer to a First Reference Treasury Event or any Subsequent Reference Treasury
Event as a Reference Treasury Event. However, the CPIS will not be automatically
redeemed and will remain outstanding until maturity or redemption. Currently,
there are approximately $11 billion in Reference TIPS and $23 billion in
Reference Government Notes issued and outstanding. Such early determination of
the Ending Index may adversely affect the trading value of the CPIS and payments
thereof relative to what they may have been if such early fixing of the Ending
Index had not occurred.
                                       S-28
<PAGE>   29

The value of the Fixed Ending Index will be determined using the same
methodology for determining the Early Ending Index in a redemption. Thus, the
Fixed Ending Index ("EI(Fixed)") will be derived per the following formula:

[FORMULA]

<TABLE>
<CAPTION>

<S>                  <C>  <C>  <C>                      <C>  <C>           <C>
                      (                  BY              )   2N
                      (                1+ --             )
EI Fixed = RCPI X     (                  2               )
                      (----------------------------------)
                      (        TY  Redemption Fee        )
                      (   1+   -- + ------------         )                 .
                      (        2       2                 )
</TABLE>

Where:

- -  RCPI = Reference CPI on the date such Ending Index is to be fixed;

- -  BY = Base Yield = The ask side yield on the Reference Government Notes as
   determined by polling 3 dealers in such instruments, one of which may be
   Morgan Guaranty;

- -  TY = TIPS Yield = The bid side yield on the Reference TIPS as determined by
   polling 3 dealers in such instruments, one of which may be Morgan Guaranty;

- -  Redemption Fee = 30 basis points (0.30%);

- -  N = Number of years remaining until maturity (2N = 2 X N).

When determining the Fixed Ending Index under the above circumstances, we may,
at our sole discretion, reduce the redemption fee, although we are not obligated
to do so. By reducing the redemption fee, we would increase the value of the
Fixed Ending Index relative to the value we would have calculated if such
redemption fee was not reduced. (See "--Optional Redemption" for further details
on the determination of the Early Ending Index.)

Once the Fixed Ending Index has been derived as the result of a Reference
Treasury Event, it will be used in any determination of a payment on the CPIS at
maturity or upon redemption (replacing the Early Ending Index in a redemption).

PROCEDURES FOR PAYMENT AT MATURITY OR ON OPTIONAL REDEMPTION

In the case of a redemption by a holder of the CPIS on an Optional Redemption
Date, any such redeeming holder will be required to provide notice of the
aggregate principal amount of the CPIS to be redeemed on such Optional
Redemption Date to a Participant or a Direct Participant in DTC. Such
Participant or Direct Participant must communicate such notice to DTC no earlier
than 20 scheduled business days prior to, but no later than 10 scheduled
business days prior to, the applicable Optional Redemption Date. DTC will then
provide notice to the Transfer Agent of the total number of CPIS to be redeemed
on the Optional Redemption Date (the "Applicable Notice"). Each Applicable
Notice will be provided by DTC to the Transfer Agent by 12:30 p.m. New York time
on the business day next succeeding the last day of the applicable notice
period. A business day is any Monday, Tuesday, Wednesday, Thursday or Friday
which is not a day on which banking institutions in The City of New York, New
York are authorized or obligated by law to close.

A holder may only provide one such notice for each applicable Optional
Redemption Date. Each Applicable Notice will be irrevocable upon receipt by us
or the Transfer Agent, and may not be withdrawn or modified after such receipt.
Additionally, the Optional Redemption Determination Date will not be deemed to
occur, and the calculation of Optional Redemption Value will not be determined,
until at least one day after the Transfer Agent receives the Applicable Notice
and communicates it to us. The applicable Optional Redemption Date will be
subject to extension in the case of a Market Disruption Event.

Payment at maturity or upon redemption, as applicable, will be made by the
delivery of cash no later than the maturity date or applicable Optional
Redemption Date with respect to such CPIS (subject to delay in the case of a
Market Disruption Event) or, if later, the time of delivery or book-entry
transfer of such CPIS.
                                       S-29
<PAGE>   30

We will irrevocably deposit with DTC no later than the close of business on the
maturity date or applicable Optional Redemption Date funds sufficient to make
payments at maturity or upon redemption, as applicable, payable with respect to
the CPIS on such date. We will give DTC irrevocable instructions and authority
to pay such amount to the holders of the CPIS entitled thereto. See
"--Book-Entry Only Issuance--The Depository Trust Company". In the event that
any such date is not a business day, then payments payable on such date will be
made on the next succeeding business day with the same force and effect as if
made on such date, except that, if such business day falls in the next calendar
year such payment will be made on the immediately preceding business day.

Subject to the foregoing and to applicable law (including, without limitation,
United States federal securities laws), we or our affiliates may, at any time
and from time to time, purchase outstanding CPIS by tender, in the open market
or by private agreement.

MARKET DISRUPTION EVENTS

A Market Disruption Event will be deemed to have occurred on any day if the
Calculation Agent determines, in its sole discretion, that the Reference CPI
level may not be obtained or has not been promulgated by the Treasury Department
(in the event of a delay by the Bureau of Labor Statistics in publishing the
CPI) or the Treasury Department has not cured an existing Index Contingency for
such day. Such Market Disruption Event may continue indefinitely. However, if
such Market Disruption Event remains in effect for longer than 20 consecutive
business days and, in the sole discretion of the Calculation Agent, such Market
Disruption Event is likely to remain in effect, then the applicable Reference
CPI may be determined in good faith by the Calculation Agent (however, it has no
obligation to determine such applicable Reference CPI).

Additionally, a Market Disruption Event with respect to an Optional Redemption
Determination Date shall occur (a) if the U.S. treasury market is not open on
such Optional Redemption Determination Date, (b) if an input in the Optional
Redemption calculation is not available or (c) if the input data are potentially
subject to extraordinary influences, in the sole discretion of the Calculation
Agent, due to the fact that the underlying instrument on which such data are
based is subject to an issuer buyback or early call (e.g., the Treasury
Department is buying back the Reference Government Notes used for determining
the Base Yield in the Optional Redemption Value calculation). Such market
disruption may require the Calculation Agent to determine certain inputs in good
faith and such determinations may be delayed or cause a delay in the Optional
Redemption Determination Date and payment of the Optional Redemption Value. See
"--Optional Redemption" for further information on the calculation of the
Optional Redemption Value.

ADDITIONAL EVENTS OF DEFAULT

Under the heading "Description of Debt Securities--Senior Debt
Securities--Events of Default" in the attached prospectus is a description of
events of default relating to senior debt securities including the CPIS. In
addition to the events of default described therein, an event of default will
occur if we fail to make any payment due on the CPIS at maturity or upon
redemption. In case an Event of Default with respect to the CPIS shall have
occurred and be continuing, the amount payable upon any acceleration of the CPIS
shall be determined in the same manner as the Optional Redemption Value as
though the date of acceleration were an Optional Redemption Determination Date.

MODIFICATION

Under the heading "Description of Debt Securities--Senior Debt
Securities--Modification of the Senior Indenture" in the attached prospectus is
a description of when the consent of each affected holder of senior debt
securities is required to modify the senior indenture. In addition to the
circumstances described therein, we may not, without the consent of each
affected holder, change the payment due at maturity or upon redemption of the
CPIS.

DEFEASANCE

The provisions described in the attached prospectus under the heading
"Description of Debt Securities--Senior Debt Securities--Defeasance and Covenant
Defeasance" are not applicable to the CPIS.

                                       S-30
<PAGE>   31

LISTING

The CPIS have been approved for listing on the AMEX under the symbol "JPI.A",
subject to official notice of issuance. Prior to this offering, there has been
no market for the CPIS.

BOOK-ENTRY ONLY ISSUANCE--THE DEPOSITORY TRUST COMPANY

The Depository Trust Company, or DTC, will act as securities depositary for the
CPIS. The CPIS will be issued only as fully-registered securities registered in
the name of Cede & Co. (DTC's nominee). One or more fully-registered global CPIS
certificates, representing the total aggregate principal amount of the CPIS,
will be issued and will be deposited with DTC.

DTC is a limited-purpose trust company organized under the New York Banking Law,
a "banking organization" within the meaning of the New York Banking Law, a
member of the Federal Reserve System, a "clearing corporation" within the
meaning of the New York Uniform Commercial Code, and a "clearing agency"
registered pursuant to the provisions of Section 17A of the Securities Exchange
Act of 1934, as amended (the "Exchange Act"). DTC holds securities that its
participants ("Participants") deposit with DTC. DTC also facilitates the
settlement among Participants of securities transactions, such as transfers and
pledges, in deposited securities through electronic computerized book-entry
changes in Participants' accounts, thereby eliminating the need for physical
movement of securities certificates. Direct Participants include securities
brokers and dealers, banks, trust companies, clearing corporations and certain
other organizations ("Direct Participants"). DTC is owned by a number of its
Direct Participants and by the New York Stock Exchange, the American Stock
Exchange, Inc. and the National Association of Securities Dealers, Inc. Access
to the DTC system is also available to others, such as securities brokers and
dealers, banks and trust companies that clear transactions through or maintain a
direct or indirect custodial relationship with a Direct Participant either
directly or indirectly ("Indirect Participants"). The rules applicable to DTC
and its Participants are on file with the Commission.

Purchases of the CPIS within the DTC system must be made by or through Direct
Participants, which will receive a credit for the CPIS on DTC's records. The
ownership interest of each actual purchaser of CPIS ("Beneficial Owner") is in
turn to be recorded on the Direct and Indirect Participants' records. Beneficial
Owners will not receive written confirmation from DTC of their purchases, but
Beneficial Owners are expected to receive written confirmations providing
details of the transactions, as well as periodic statements of their holdings,
from the Participants or Direct Participants through which the Beneficial Owners
purchased the CPIS. Transfers of ownership interests in the CPIS are to be
accomplished by entries made on the books of Participants acting on behalf of
Beneficial Owners. Beneficial Owners will not receive certificates representing
their ownership interests in the CPIS, except in the event that use of the
book-entry system for the CPIS is discontinued.

To facilitate subsequent transfers, all CPIS deposited by Participants with DTC
are registered in the name of DTC's nominee, Cede & Co. The deposit of the CPIS
with DTC and their registration in the name of Cede & Co. effect no change in
beneficial ownership. DTC has no knowledge of the actual Beneficial Owners of
the CPIS. DTC's records reflect only the identity of the Direct Participants to
whose accounts such CPIS are credited, which may or may not be the Beneficial
Owners. The Participants will remain responsible for keeping account of their
holdings on behalf of their customers.

Conveyance of notices and other communications by DTC to Direct Participants, by
Direct Participants to Indirect Participants and by Direct and Indirect
Participants to Beneficial Owners will be governed by arrangements among them,
subject to any statutory or regulatory requirements that may be in effect from
time to time.

DTC may discontinue providing its services as securities depositary with respect
to the CPIS at any time by giving reasonable notice to us. Under such
circumstances, in the event that a successor securities depositary is not
obtained, CPIS certificates are required to be printed and delivered.
Additionally, we may decide to discontinue use of the system of book-entry
transfers through DTC (or any successor depositary) with respect to the CPIS. In
that event, certificates for the CPIS will be printed and delivered.

The information in this section concerning DTC and DTC's book-entry system has
been obtained from sources that we believe to be reliable, but we do not take
responsibility for the accuracy thereof.
                                       S-31
<PAGE>   32

REGISTRAR, TRANSFER AGENT AND PAYING AGENT

Payment of amounts due on the CPIS will be payable and the transfer of the CPIS
will be registrable at the principal corporate trust office of The Chase
Manhattan Bank in The City of New York.

The Chase Manhattan Bank or one of its affiliates will act as registrar and
transfer agent for the CPIS. The Chase Manhattan Bank will also act as paying
agent.

Registration of transfers of the CPIS will be effected without charge by or on
behalf of The Chase Manhattan Bank, but upon payment (with the giving of such
indemnity as The Chase Manhattan Bank may require) in respect of any tax or
other governmental charges that may be imposed in relation to it.

GOVERNING LAW

The CPIS will be governed by and interpreted in accordance with the laws of the
State of New York.

                                       S-32
<PAGE>   33

                     UNITED STATES FEDERAL INCOME TAXATION

GENERAL

The following summary of the material U.S. federal income tax consequences of
the purchase, ownership and disposition of the CPIS by U.S. Holders (as defined
below) is based on the advice of Davis Polk & Wardwell, tax counsel to J.P.
Morgan Chase & Co. ("Tax Counsel"). This summary deals only with the CPIS held
as capital assets by holders who purchase them upon original issuance.

This summary does not address tax considerations applicable to investors that
may be subject to special U.S. federal income tax treatment, such as dealers in
securities or persons that will hold the CPIS as a position in a "straddle"
(within the meaning of Section 1092 of the Internal Revenue Code of 1986, as
amended), or as part of a "conversion transaction" (within the meaning of
Section 1258 of the Code) or "synthetic security" or other integrated investment
comprised of the CPIS and one or more other investments. This summary also does
not address the tax consequences to U.S. persons that have a functional currency
other than the U.S. dollar or the tax consequences to shareholders, partners or
beneficiaries of a holder of the CPIS. Further, it does not include any
description of any alternative minimum tax consequences or the tax laws of any
state, local or foreign government that may be applicable to a holder of the
CPIS.

This summary is based on the Code, Treasury regulations thereunder and
administrative and judicial interpretations thereof, as of the date hereof, all
of which are subject to change, possibly on a retroactive basis.

For purposes of this summary, a "U.S. Holder" means a holder who is, for U.S.
federal income tax purposes, (i) a citizen or resident of the United States (or
any state thereof), (ii) a corporation, or other entity taxable as a
corporation, created or organized in or under the laws of the United States or
any political subdivision thereof or (iii) an estate or trust the income of
which is subject to U.S. federal income tax regardless of its source. If a
partnership holds the CPIS, the tax treatment of a partner will generally depend
upon the status of the partner and upon the activities of the partnership. If
you are a partner of a partnership holding the CPIS, you should consult your own
tax adviser.

For purposes of this summary, a "Non-U.S. Holder" means a holder who is, for
U.S. federal income tax purposes, (i) a nonresident alien individual, (ii) a
foreign corporation, (iii) a nonresident alien fiduciary of a foreign estate or
trust or (iv) a foreign partnership one or more of the members of which is, for
U,.S. federal income tax purposes, a nonresident alien individual, a foreign
corporation or nonresident alien fiduciary of a foreign estate or trust.

U.S. HOLDERS OF CPIS

  TAX REPORTING POSITION

We intend to treat the CPIS as contracts that are not options, and accordingly
to take the position that U.S. Holders generally will not be required to accrue
any amounts in income with respect to the CPIS before receiving payments with
respect thereto.

Even under this position, a different rule may apply if (i) we make an early
determination of the Ending Index as described in "Description of CPIS--Early
Determination of the Ending Index" or (ii) when the Ending Index can be
determined in the month preceding the maturity, based on the announcement of the
monthly CPI that determines the Reference CPI on the Maturity Date. At such
times, the amount payable at the maturity of the CPIS becomes fixed. In such
cases, if you are an accrual method taxpayer, you probably will be required at
such time to include in income the full amount, if any, payable at maturity in
excess of your tax basis in the CPIS. If you are a cash method taxpayer, you may
be required at that time to include all or part of such amount in income. In
addition, if you are an accrual method taxpayer, you might be entitled at that
time to a loss to the extent the fixed amount payable at maturity is less than
your tax basis. The tax treatment of the income, gain or loss recognized under
this paragraph is unclear, and you should consult your tax adviser as to whether
such income, gain or loss should be treated as ordinary or capital income, gain
or loss.

                                       S-33
<PAGE>   34

Under our tax reporting position, unless the preceding paragraph applies, when
you receive a payment with respect to the CPIS, either at maturity or upon
redemption or sale of a CPIS, you generally will recognize income, gain or loss
equal to the difference between the amount you receive with respect to the CPIS
and your tax basis in the CPIS. The tax treatment of the payment of a CPIS at
maturity or upon redemption is unclear, and you should consult your tax adviser
as to whether such income, gain or loss should be treated as ordinary or capital
income, gain or loss. Although the law is unclear and the IRS might challenge
the position, any such income, gain or loss you realize on the sale or other
disposition of a CPIS before maturity is likely to be treated as capital gain or
loss.

  POSSIBLE ALTERNATIVE TAX CONSEQUENCES

It is possible that the CPIS may not be properly treated as contracts that are
not options. It is also possible that we may be incorrect in our position that
you do not have to accrue any income with respect to the CPIS before the time
described in "--Tax Reporting Position" above. In either such case, under a
variety of theories, you could be required to report income with respect to the
CPIS in advance of your receipt of any cash with respect thereto.

For example, the CPIS might be considered cash settled options on the Reference
CPI. In that case, the CPIS would probably constitute "nonequity options" within
the meaning of Section 1256 of the Code, with the result that U.S. Holders would
be required to mark to market their CPIS. Gain or loss would be recognized each
year that you hold the CPIS based on the increase or decrease in market value of
the CPIS during that year. Of such gain or loss, 40% would be treated as
short-term capital gain or loss, and 60% would be treated as long-term capital
gain or loss. The same treatment would apply to any gain or loss upon the sale
or redemption or other disposition of the CPIS.

Alternatively, the CPIS might be treated as contingent payment debt instruments
issued by us. In such event, regardless of whether you are an accrual method or
cash method taxpayer, you would be required to accrue as original issue discount
("OID") income certain amounts in each year that you hold the CPIS. OID would
accrue at a rate equal to the "comparable yield" on the issue date of the CPIS.
This is a rate equal to the greater of (i) the "Applicable Federal Rate" (a rate
for Treasury obligations of maturities comparable to the CPIS) and (ii) the
fixed rate on a hypothetical, non-contingent debt instrument issued by us with
comparable maturity and other terms. The amount of OID accrued would increase
your tax basis in the CPIS. Upon the sale or redemption of a CPIS, any gain
would be ordinary income, while any loss would be ordinary loss, but only to the
extent of OID previously accrued.

NON-U.S. HOLDERS

If you are a Non-U.S. Holder of the CPIS and if the characterization of the CPIS
as contract claims that are not options is respected, payments made to you with
respect to the CPIS may be subject to U.S. withholding tax at a 30% rate. We
expect that Non-U.S. Holders will be subject to 30% withholding with respect to
amounts paid on the CPIS at maturity or upon redemption.

If the CPIS were options subject to the mark-to-market rules of Section 1256 of
the Code, any payment made to a Non-U.S. Holder with respect to the CPIS would
not be subject to U.S. withholding tax. Similarly, if the CPIS were contingent
payment debt obligations, any payment made to a Non-U.S. Holder with respect to
the CPIS would not be subject to U.S. withholding tax, provided that the
Non-U.S. Holder complied with applicable certification requirements.

Although we expect that Non-U.S. Holders will be subject to withholding at a
rate of 30% with respect to a portion of the amounts paid on the CPIS, such
holders can apply to the IRS for a refund of the tax withheld on the theory that
no withholding tax was due. Neither Tax Counsel nor we can give any assurance to
Non-U.S. Holders that such a refund claim will be successful.

Under any characterization of the CPIS, gain realized upon the sale of the CPIS
by a Non-U.S. Holder generally would likely not be subject to U.S. federal
withholding tax, although such gain may be subject to U.S. federal income tax
under general U.S. tax principles if (i) such gain is effectively connected with
the conduct of a U.S. trade or business of such holder, or (ii) in the case of
an individual, such individual is

                                       S-34
<PAGE>   35

present in the United States for 183 days or more in the taxable year of the
sale and certain other conditions are satisfied.

BACKUP WITHHOLDING AND INFORMATION REPORTING

Payments made on, and proceeds from the sale of, the CPIS may be subject to a
"backup" withholding tax at a rate of 31% unless the holder complies with
certain identification requirements. Non-U.S. Holders are generally exempt from
backup withholding but may be required to certify their status in order to prove
their exemption. Any amounts withheld will be allowed as a credit against the
holder's U.S. federal income tax, provided that the required information is
furnished to the IRS.

THE UNITED STATES FEDERAL INCOME TAX DISCUSSION SET FORTH ABOVE MAY NOT BE
APPLICABLE DEPENDING UPON A HOLDER'S PARTICULAR SITUATION. THE TAX CONSEQUENCES
TO HOLDERS OF OWNING THE CPIS ARE UNCLEAR AND COMPLEX. WE AND TAX COUNSEL
STRONGLY RECOMMEND THAT YOU CONSULT YOUR OWN TAX ADVISER ABOUT THE TAX
CONSEQUENCES OF PURCHASING, OWNING AND DISPOSING OF THE CPIS, INCLUDING THE TAX
CONSEQUENCES UNDER STATE, LOCAL, FOREIGN AND OTHER TAX LAWS AND THE POSSIBLE
EFFECTS OF CHANGES IN UNITED STATES FEDERAL OR OTHER TAX LAWS.

                                       S-35
<PAGE>   36

                                  UNDERWRITING

We and the underwriters named below have entered into an underwriting agreement
relating to the offer and sale of the CPIS. In the underwriting agreement, we
have agreed to sell to each underwriter, and each underwriter has agreed to
purchase from us, CPIS with an aggregate principal amount equal to that
appearing opposite the name of the underwriter below:

<TABLE>
<CAPTION>
                                                               PRINCIPAL
                                                                AMOUNT
UNDERWRITER                                                     OF CPIS
- -----------                                                   -----------
<S>                                                           <C>
J.P. Morgan Securities Inc. ................................  $14,250,000
Epoch Securities, Inc. .....................................      150,000
Fahnestock & Co. Inc. ......................................      150,000
Crowell, Weedon & Co. ......................................      150,000
Sands Brothers & Co., Ltd. .................................      150,000
William Blair & Company, LLC................................      150,000
                                                              -----------
     Total..................................................  $15,000,000
                                                              ===========
</TABLE>

The obligations of the underwriters under the underwriting agreement, including
their agreement to purchase the CPIS from us, are several and not joint. Those
obligations are also subject to the satisfaction of certain conditions in the
underwriting agreement. The underwriters have agreed to purchase all of the CPIS
if any of them are purchased.

The underwriters have advised us that they propose to offer the CPIS to the
public at the price to public that appears on the cover page of this prospectus
supplement. The underwriters may offer the CPIS to selected dealers at the price
to public minus a selling concession of up to $37.50 per CPIS. After the initial
public offering, the underwriters may change the price to public and any other
selling terms.

In the underwriting agreement, we have agreed that:

        -  we will pay our expenses related to this offering, which we estimate
           will be $80,000; and

        -  we will indemnify the underwriters against certain liabilities,
           including liabilities under the Securities Act of 1933.

The CPIS are a new issue of securities, and there is currently no established
trading market for the CPIS. The CPIS have been approved for listing on the AMEX
under the symbol "JPI.A", subject to official notice of issuance. Prior to this
offering, there has been no market for the CPIS. The underwriters have advised
us that they intend to make a market in the CPIS. However, they are not
obligated to do so and may discontinue any market-making in the CPIS at any time
in their sole discretion. Therefore, we cannot assure you that a liquid trading
market for the CPIS will develop, that you will be able to sell your CPIS at a
particular time or that the price you receive when you sell will be favorable.

We own directly or indirectly all the outstanding equity securities of J.P.
Morgan Securities. The underwriting arrangements for this offering comply with
the requirements of Rule 2720 of the Conduct Rules of the NASD regarding an NASD
member firm's underwriting of securities of an affiliate. In accordance with
Rule 2720, no underwriter may make sales in this offering to any discretionary
account without the prior approval of the customer.

Our affiliates, J.P. Morgan Securities and Chase Securities, may use this
prospectus supplement and the attached prospectus in connection with offers and
sales of the CPIS in the secondary market. Those affiliates may act as principal
or agent in those transactions. Secondary market sales will be made at prices
related to market prices at the time of sale.

In order to facilitate the offering of these CPIS, the underwriters may engage
in transactions that stabilize, maintain or otherwise affect the price of these
CPIS or any other securities the prices of which may be used to determine
payments on these CPIS. As an additional means of facilitating the offering, the
underwriters may bid for, and purchase, these CPIS or any other securities in
the open market to stabilize the price of these CPIS or of any other securities.
Finally, the underwriting syndicate may also reclaim

                                       S-36
<PAGE>   37

selling concessions allowed to an underwriter or a dealer for distributing these
CPIS in the offering, if the syndicate repurchases previously distributed CPIS
to cover syndicate short positions or to stabilize the price of these CPIS. Any
of these activities may raise or maintain the market price of these CPIS above
independent market levels or prevent or retard a decline in the market price of
these CPIS. The underwriters are not required to engage in these activities, and
may end any of these activities at any time.

Certain of the underwriters engage in transactions with and perform services for
us and our subsidiaries in the ordinary course of business.

We will deliver the CPIS to the underwriters at the closing of this offering
when the underwriters pay us the purchase price for the CPIS.

                                       S-37
<PAGE>   38

            ERISA MATTERS FOR PENSION PLANS AND INSURANCE COMPANIES

Section 406 of the Employee Retirement Income Security Act of 1974, as amended
("ERISA") and Section 4975 of the Internal Revenue Code of 1986, as amended (the
"Code"), prohibit pension, profit-sharing or other employee benefit plans, as
well as individual retirement accounts and Keogh plans subject to Section 4975
of the Code ("Plans"), from engaging in certain transactions involving "plan
assets" with persons who are "parties in interest" under ERISA or "disqualified
persons" under the Code ("Parties in Interest") with respect to such Plans. As a
result of its business, the Company is a Party in Interest with respect to many
Plans. Where the Company is a Party in Interest with respect to a Plan (either
directly or by reason of its ownership of its subsidiaries), the purchase and
holding of the CPIS by or on behalf of the Plan would be a prohibited lending
transaction under Section 406(a)(1) of ERISA and Section 4975(c)(1) of the Code,
unless exemptive relief were available under an applicable administrative
exemption (as described below) or there was some other basis on which the
transaction was not prohibited.

Accordingly, the CPIS may not be purchased or held by any Plan, any entity whose
underlying assets include "plan assets" by reason of any Plan's investment in
the entity (a "Plan Asset Entity") or any person investing "plan assets" of any
Plan, unless such purchaser or holder is eligible for the exemptive relief
available under Prohibited Transaction Class Exemption ("PTCE") 96-23, 95-60,
91-38, 90-1 or 84-14 issued by the U.S. Department of Labor or there was some
other basis on which the purchase and holding of the CPIS by the Plan Asset
Entity is not prohibited. Any purchaser or holder of the CPIS or any interest
therein will be deemed to have represented by its purchase and holding thereof
that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing
the CPIS on behalf of or with "plan assets" of any Plan or (b) its purchase and
holding of the CPIS is eligible for the exemptive relief available under PTCE
96-23, 95-60, 91-38, 90-1 or 84-14 or there is some other basis on which such
purchase and holding is not prohibited.

Employee benefit plans that are governmental plans (as defined in Section 3(32)
of ERISA), certain church plans (as defined in Section 3(33) of ERISA) and
foreign plans (as described in Section 4(b)(4) of ERISA) are not subject to
these "prohibited transaction" rules of ERISA or Section 4975 of the Code, but
may be subject to similar rules under other applicable laws or documents.

Due to the complexity of the applicable rules, it is particularly important that
fiduciaries or other persons considering purchasing the CPIS on behalf of or
with "plan assets" of any Plan consult with their counsel regarding the relevant
provisions of ERISA and the Code and the availability of exemptive relief under
PTCE 96-23, 95-60, 91-38, 90-1 or 84-1.

                                    EXPERTS

The financial statements of Chase incorporated in this prospectus supplement by
reference to its Annual Report on Form 10-K for the year ended December 31, 1999
have been incorporated in reliance on the report of PricewaterhouseCoopers LLP,
independent accountants, given on the authority of that firm as experts in
auditing and accounting. The financial statements of Heritage J.P. Morgan
incorporated in this prospectus supplement by reference to Chase's Current
Report on Form 8-K, dated November 28, 2000, have been incorporated in reliance
on the report of PricewaterhouseCoopers LLP, independent accountants, given on
the authority of that firm as experts in auditing and accounting.

                                 LEGAL OPINIONS

Simpson Thacher & Bartlett, New York, New York, will deliver an opinion for us
regarding the validity of the CPIS. Davis Polk & Wardwell will provide a similar
opinion for the underwriter. Davis Polk & Wardwell has represented and continues
to represent us and our subsidiaries in a substantial number of matters on a
regular basis.

                                       S-38
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
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