Term sheet |
Term Sheet to |
Structured |
JPMorgan Chase & Co. $ Principal Protected Dual Directional Knock-Out Notes Linked to the S&P MidCap 400® Index due December 11, 2009 |
General
Key Terms
Index: |
The S&P MidCap 400® Index (the Index). |
|
Payment at Maturity: |
At maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which may be zero. |
|
Additional Amount: |
If a Knock-Out Event has not occurred during the Monitoring Period, the Additional Amount per $1,000 principal amount note paid at maturity will equal $1,000 x the Absolute Index Return x the Participation Rate, provided that the Additional Amount will not be less than zero or greater than the Maximum Return. If a Knock-Out Event has occurred during the Monitoring Period, the Additional Amount will be equal to zero. |
|
Knock-Out Event: |
A Knock-Out Event occurs if, on any trading day during the Monitoring Period, the Index closing level is greater than the Upper Knock-Out Level OR less than the Lower Knock-Out Level. |
|
Upper Knock-Out Level: |
The Upper Knock-Out Level will be determined on the pricing date and will not be less than 125% or greater than 127% of the Initial Index Level. |
|
Lower Knock-Out Level: |
The Lower Knock-Out Level will be determined on the pricing date and will not be less than 73% or greater than 75% of the Initial Index Level. |
|
Monitoring Period: |
The period from the Pricing Date to and including the Observation Date. |
|
Participation Rate: |
At least 100%. The actual Participation Rate will be determined on the pricing date and will not be less than 100%. |
|
Maximum Return: |
The Maximum Return will be determined on the pricing date and will not be less than $250.00 per $1,000 principal amount note. |
|
Absolute Index Return: |
The absolute
value of: |
|
|
For example, an index return of -15% will equal a 15% Absolute Index Return. |
|
Initial Index Level: |
The Index closing level on the pricing date, which is expected to be on or about June 6, 2008. |
|
Ending Index Level: |
The Index closing level on the Observation Date. |
|
Observation Date: |
December 8, 2009* |
|
Maturity Date: |
December 11, 2009* |
|
CUSIP: |
48123M6D9 |
* |
Subject to postponement in the event of a market disruption event and as described under Description of Notes Payment at Maturity in the accompanying product supplement no. 140-I. |
Investing in the Principal Protected Dual Directional Knock-Out Notes involves a number of risks. See Risk Factors beginning on page PS-7 of the accompanying product supplement no. 140-I and Selected Risk Considerations beginning on page TS-2 of this term sheet.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.
To the extent the information contained in footnotes (1) and (2) below differs from or conflicts with the disclosure set forth under Use of Proceeds in product supplement no. 140-I, the information in the footnotes (1) and (2) below controls.
|
|||
|
Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
|
|||
Per note |
$ |
$ |
$ |
|
|||
Total |
$ |
$ |
$ |
|
(1) |
The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates. |
|||||
(2) |
If the notes priced today and assuming an Upper Knock-Out Level of 125% and a Lower Knock-Out Level of 75%, J.P. Morgan Securities Inc., which we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $14.00 per $1,000 principal amount note. The actual commission received by JPMSI may be more or less than $14.00 and will depend on market conditions on the pricing date. This commission will include the projected profits that our affiliates expect to realize in consideration for assuming risks inherent in hedging our obligations under the notes. In no event will that commission, which may include concessions to be allowed to other dealers, exceed $[15.00] per $1,000 principal amount note. See Underwriting beginning on page PS-38 of the accompanying product supplement no. 140-I. |
The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
JPMorgan
May 30, 2008
Additional Terms Specific to the Notes
You should read this term sheet together with the prospectus dated December 1, 2005, as supplemented by the prospectus supplement dated October 12, 2006 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 140-I dated May 30, 2008. This term sheet, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in Risk Factors in the accompanying product supplement no. 140-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Product supplement no. 140-I dated May 30, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000114420408032869/v116060_424b2.pdf
Prospectus
supplement dated October 12, 2006:
http://www.sec.gov/Archives/edgar/data/19617/000089109206003117/e25276_424b2.pdf
Prospectus
dated December 1, 2005:
http://www.sec.gov/Archives/edgar/data/19617/000089109205002389/e22923_base.txt
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us or our refer to JPMorgan Chase & Co.
JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, each prospectus supplement, product supplement no. 140-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments |
TS-1 |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or any of the component stocks of the Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 140-I dated May 30, 2008.
|
|
JPMorgan
Structured Investments |
TS-2 |
Hypothetical Payment at Maturity for Each $1,000 Principal Amount Note
The following table illustrates the payment at maturity (including, where relevant, the payment of the Additional Amount) for a $1,000 principal amount note for a hypothetical range of performance for the Index and assumes an Upper Knock-Out Level of 125% of the Initial Index Level, a Lower Knock-Out Level of 75% of the Initial Index Level, a Maximum Return of $250.00 per $1,000 principal amount note, a Participation Rate of 100%, an Initial Index Level of 850, and that the lowest and highest Index closing levels during the Monitoring Period are as set forth under the columns Hypothetical lowest closing level during the Monitoring Period and Hypothetical highest closing level during the Monitoring Period, respectively. Assuming an Initial Index Level of 850, the Upper Knock-Out Level will be 1062.50 and the Lower Knock-Out Level will be 637.50. The Upper Knock-Out Level will be determined on the pricing date and will not be less than 125% or greater than 127% of the Initial Index Level. The Lower Knock-Out Level will be determined on the pricing date and will not be less than 73% or greater than 75% of the Initial Index Level. The Maximum Return will be determined on the pricing date and will not be less than $250.00 per $1,000 principal amount note. The Participation Rate will be determined on the pricing date and will not be less than 100%. The following results are based solely on the hypothetical example cited. You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the following table have been rounded for ease of analysis.
|
||||||||
Ending |
Absolute |
Hypothetical |
Hypothetical |
Additional |
|
Principal |
|
Payment at |
|
||||||||
1275.00 |
50.00% |
850.00 |
1275.00 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
1079.50 |
27.00% |
765.00 |
1079.50 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
1071.00 |
26.00% |
765.00 |
1071.00 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
1062.50 |
25.00% |
765.00 |
1062.50 |
$250.00 |
+ |
$1,000 |
= |
$1,250 |
1020.00 |
20.00% |
765.00 |
1105.00 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
977.50 |
15.00% |
722.50 |
1020.00 |
$150.00 |
+ |
$1,000 |
= |
$1,150 |
935.00 |
10.00% |
765.00 |
1105.00 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
935.00 |
10.00% |
765.00 |
977.50 |
$100.00 |
+ |
$1,000 |
= |
$1,100 |
850.00 |
0.00% |
765.00 |
977.50 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
765.00 |
10.00% |
722.50 |
977.50 |
$100.00 |
+ |
$1,000 |
= |
$1,100 |
722.50 |
15.00% |
595.00 |
892.50 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
637.50 |
25.00% |
637.50 |
892.50 |
$250.00 |
+ |
$1,000 |
= |
$1,250 |
629.00 |
26.00% |
629.00 |
892.50 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
620.50 |
27.00% |
620.50 |
892.50 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
425.00 |
50.00% |
425.00 |
850.00 |
$0.00 |
+ |
$1,000 |
= |
$1,000 |
|
Hypothetical
Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The lowest closing level of the Index during the Monitoring Period was 765, the highest closing level of the Index during the Monitoring Period was 977.50, and the Ending Index Level was 935. Because the Index closing level was less than or equal to the Upper Knock-Out Level AND greater than or equal to the Lower Knock-Out Level on every trading day during the Monitoring Period, a Knock-Out Event has not occurred. Because the Absolute Index Return is 10%, the Additional Amount is equal to $100, and the final payment at maturity is equal to $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x absolute value of [(935 - 850)/850] x 100%) = $1,100
Example 2: The lowest closing level of the Index during the Monitoring Period was 620.50, the highest closing level of the Index during the Monitoring Period was 892.50, and the Ending Index Level was 620.50. Because the Index closing level was less than the Lower Knock-Out Level on at least one trading day during the Monitoring Period, a Knock-Out Event has occurred, the Additional Amount is equal to zero, and the final payment per $1,000 principal amount note at maturity is the principal amount of $1,000.
Example 3: The lowest closing level of the Index during the Monitoring Period was 722.50, the highest closing level of the Index during the Monitoring Period was 1020, and the Ending Index Level was 977.50. Because the Index closing level was less than or equal to the Upper Knock-Out Level AND greater than or equal to the Lower Knock-Out Level on every trading day during the Monitoring Period, a Knock-Out Event has not occurred. Because the Absolute Index Return is 15%, the Additional Amount is equal to $150, and the final payment at maturity is equal to $1,150 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x absolute value of [(977.50 - 850)/850] x 100%) = $1,150
Example 4: The lowest closing level of the Index during the Monitoring Period was 850, the highest closing level of the Index during the Monitoring Period was 1275, and the Ending Index Level was 1275. Because the Index closing level was higher than the Upper Knock-Out Level on at least one trading day during the Monitoring Period, a Knock-Out Event has occurred, the Additional Amount is equal to zero, and the final payment per $1,000 principal amount note at maturity is the principal amount of $1,000.
|
|
JPMorgan
Structured Investments |
TS-3 |
Historical Information
The following graph sets forth the historical performance of the S&P MidCap 400® Index based on the weekly Index closing level from January 3, 2003 through May 23, 2008. The Index closing level on May 29, 2008 was 876.00. We obtained the Index closing levels below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level on any trading day during the Monitoring Period or on the Observation Date. We cannot give you assurance that the performance of the Index will result in a payment at maturity of more than the principal amount of your notes.
|
|
JPMorgan
Structured Investments |
TS-4 |