Term sheet |
Term Sheet to Product Supplement No. 49-III Registration Statement No. 333-130051 Dated May 16, 2008; Rule 433 |
Structured |
JPMorgan
Chase & Co. $ 90% Principal Protected Notes Linked to the Performance of the U.S. Dollar Relative to a Currency Basket due May 23, 2011 |
General
Key Terms
Basket: |
An equally weighted basket consisting of the Japanese Yen (JPY), the British Pound Sterling (GBP), the European Union Euro (EUR) and the Swiss Franc (CHF) (each a Basket Currency, and together, the Basket Currencies) that measures the performance of the Basket Currencies relative to the U.S. Dollar (the Basket). For information about the Basket Currencies, the Basket Currency Weights and the calculation of the Starting Spot Rate see Additional Key Terms on page TS-1 of this term sheet. |
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Reference Currency: |
The U.S. Dollar |
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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 negative. |
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Additional Amount: |
The Additional Amount per $1,000 principal amount note paid at maturity will equal: (1) if the Ending Basket Level is greater than or equal to the Starting Basket Level, $1,000 x the Basket Return x the Participation Rate. (2) if the Ending Basket Level is less than the Starting Basket Level, $1,000 x the Basket Return; provided that the Additional Amount will not be less than -$100. For example, if the Basket Return is less than -10%, the Additional Amount will be equal to -$100, which entitles you to a payment at maturity of $900 for each $1,000 principal amount note. See Selected Risk Considerations Your Notes Are Subject to an Embedded Maximum Payment At Maturity for more information. If the Ending Basket Level is less than the Starting Basket Level, you will lose up to 10% of your initial investment at maturity. |
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Participation Rate: |
At least 270%. The actual Participation Rate will be determined on the pricing date and will not be less than 270%. |
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Basket Return: |
Ending Basket Level Starting
Basket Level |
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Starting Basket Level: |
Set equal to 100 on the pricing date, which is expected to be on or about May 19, 2008. |
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Ending Basket Level: |
The Basket Closing Level on the Observation Date. |
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Basket Closing Level: |
The Basket Closing Level on the Observation Date will be calculated as follows: 100 x [1 + (JPY Return * 1/4) + (GBP Return * 1/4) + (EUR Return * 1/4) + (CHF Return * 1/4)] The JPY Return, the GBP Return, the EUR Return and the CHF Return refer to the Basket Currency Return for the Japanese Yen, the British Pound Sterling, the European Union Euro and the Swiss Franc, respectively. |
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Basket Currency Return: |
With respect to each Basket Currency: |
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1 |
Starting Spot Rate |
Ending Spot Rate |
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For more information on the calculation of the Basket Currency Return for each Basket Currency, see Additional Key Terms Basket Currency Weights and Selected Purchase Considerations Basket Currency Returns in this term sheet. |
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Observation Date: |
May 18, 2011* |
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Maturity Date: |
May 23, 2011* |
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CUSIP: |
48123M4H2 |
* |
Subject to postponement as described under Description of Notes Payment at Maturity in the accompanying product supplement no. 49-III. |
Investing in the 90% Principal Protected Notes involves a number of risks. See Risk Factors beginning on page PS-8 of the accompanying product supplement no. 49-III 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.
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Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(1) |
If the notes priced today, J.P. Morgan Securities Inc., which we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $20.00 per $1,000 principal amount note. The actual commission received by JPMSI may be more or less than $20.00 and will depend on market conditions on the pricing date. In no event will the commission received by JPMSI exceed $25.00 per $1,000 principal amount note. See Underwriting beginning on page PS-27 of the accompanying product supplement no. 49-III. |
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 16, 2008
Additional Terms Specific to the Notes
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. 49-III 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.
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. 49-III dated December 17, 2007. 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. 49-III, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us or our refers to JPMorgan Chase & Co.
Additional Key Terms
Basket Currency |
Starting Spot |
Reuters Page |
Percentage Weight of |
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Japanese Yen (JPY) |
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WMRSPOT12 |
25% |
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British Pound Sterling (GBP) |
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WMRSPOT07 |
25% |
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European Union Euro (EUR) |
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WMRSPOT05 |
25% |
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Swiss Franc (CHF) |
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WMRSPOT07 |
25% |
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The Starting Spot Rate for each of the Japanese Yen and Swiss Franc will be equal to the amount of such Basket Currency per U.S. Dollar and will be determined by the calculation agent in good faith and in a commercially reasonable manner at approximately 11:00 a.m., New York City time, on the pricing date taking into account either applicable intra-day trades or the rates displayed on the applicable Reuters page. |
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The Starting Spot Rate for each of the British Pound Sterling and European Union Euro will be equal to one divided by the amount of U.S. Dollars per applicable Basket Currency and will be determined by the calculation agent in good faith and in a commercially reasonable manner at approximately 11:00 a.m., New York City time, on the pricing date taking into account the quotient of one divided by either applicable intra-day trades or the rates displayed on the applicable Reuters page. For information about the risks related to this discretion, see Selected Risk Considerations Potential Conflicts on page TS-2 of this term sheet. |
Selected Purchase Considerations
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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 Basket Currencies or any contracts related to the Basket Currencies. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 49-III dated December 17, 2007. The risk considerations described below supplement, and to the extent they conflict with the risk factors described under Risk Factors in the accompanying product supplement no. 49-III, supersede the risk factors set forth in the product supplement no. 49-III.
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JPMorgan
Structured Investments |
TS-2 |
What Is the Payment at Maturity on the Notes Assuming a Range of Performance for the Basket?
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 Basket Return from -80% to +80% and assumes a Participation Rate of 270%. The hypothetical payments at maturity (including, where relevant, the Additional Amount) set forth below are for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the following table and examples have been rounded for ease of analysis.
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Ending |
Basket |
Basket Return x |
Additional |
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Principal |
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Payment at |
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180 |
80% |
216.00% |
$2,160 |
+ |
$1,000 |
= |
$3,160 |
170 |
70% |
189.00% |
$1,890 |
+ |
$1,000 |
= |
$2,890 |
160 |
60% |
162.00% |
$1,620 |
+ |
$1,000 |
= |
$2,620 |
150 |
50% |
135.00% |
$1,350 |
+ |
$1,000 |
= |
$2,350 |
140 |
40% |
108.00% |
$1,080 |
+ |
$1,000 |
= |
$2,080 |
130 |
30% |
81.00% |
$810 |
+ |
$1,000 |
= |
$1,810 |
120 |
20% |
54.00% |
$540 |
+ |
$1,000 |
= |
$1,540 |
110 |
10% |
27.00% |
$270 |
+ |
$1,000 |
= |
$1,270 |
105 |
5% |
13.50% |
$135 |
+ |
$1,000 |
= |
$1,135 |
100 |
0% |
0.00% |
$0 |
+ |
$1,000 |
= |
$1,000 |
95 |
-5% |
N/A |
-$50 |
+ |
$1,000 |
= |
$950 |
90 |
-10% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
80 |
-20% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
70 |
-30% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
60 |
-40% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
50 |
-50% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
40 |
-60% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
30 |
-70% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
20 |
-80% |
N/A |
-$100 |
+ |
$1,000 |
= |
$900 |
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Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 120. Because the Ending Basket Level of 120 is greater than the Starting Basket Level of 100, the Additional Amount is equal to $540 and the final payment at maturity is equal to $1,540 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x [(120-100)/100] x 270%) = $1,540
Example 2: The level of the Basket declines from the Starting Basket Level of 100 to an Ending Basket Level of 95. Because the Ending Basket Level of 95 is less than the Starting Basket Level of 100, the Basket Return is negative, the Additional Amount is equal to -$50 and the final payment at maturity is equal to $950 per $1,000 principal amount note, calculated as follows:
$1,000 + $1,000 x [(95-100)/100] = $950
Example 3: The level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 110. Because the Ending Basket Level of 110 is greater than the Starting Basket Level of 100, the Additional Amount is equal to $270 and the final payment at maturity is equal to $1,270 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x [(110-100)/100] x 270%) = $1,270
Example 4: The level of the Basket decreases from the Starting Basket Level of 100 to a Ending Basket Level of 80. Because the Ending Basket Level of 80 is less than the Starting Basket Level of 100, the Basket Return is negative and because the Additional Amount may not be less than -$100, the Additional Amount is equal to -$100 and the final payment at maturity is equal to $900 per $1,000 principal amount note.
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JPMorgan
Structured Investments |
TS-3 |
Historical Information
The first four graphs below show the historical weekly performance of each Basket Currency expressed in terms of the conventional market quotation, as shown on Bloomberg Financial Markets, for each currency (which, in the case of the Japanese Yen (JPY) and the Swiss Franc (CHF), is the amount of the applicable Basket Currency that can be exchanged for one U.S. Dollar and, in the case of the British Pound Sterling(GBP) and European Union Euro (EUR), is the amount of U.S. dollars that can be exchanged for one unit of the applicable Basket Currency, and which, in each case, we refer to in this term sheet as the exchange rate) from January 3, 2003 through May 9, 2008. The exchange rates of the Japanese Yen, the British Pound Sterling, the European Union Euro and the Swiss Franc, at approximately 11:00 a.m., New York City time, on May 15, 2008, were 104.805, 1.94630, 1.54775 and 1.05510, respectively.
The exchange rates displayed in the graphs below are for illustrative purposes only and do not form part of the calculation of the Basket Return. The value of the Basket, and thus the Basket Return, increases when the U.S. Dollar appreciates in value against the individual Basket Currencies. Therefore, the Basket Return is calculated using Spot Rates for each currency expressed, for the Japanese Yen and the Swiss Franc, as the amount of Basket Currency per one U.S. Dollar, which is largely consistent with the approach used to determine the conventional market quotation for each such Basket Currency set forth in the applicable graphs below and, for the British Pound Sterling and the European Union Euro, as one divided by the amount of U.S. dollars per one unit of Basket Currency, which is the inverse of the conventional market quotation for each such Basket Currency set forth in the applicable graphs below.
The last graph below shows the weekly performance of the Basket from January 3, 2003 through May 9, 2008, assuming that the Basket Closing Level on January 3, 2003 was 100, that each Basket Currency had a 1/4 weight in the Basket on that date and that the closing spot rates of each Basket Currency on the relevant dates were the Spot Rates on such dates. The closing spot rates and the historical weekly Basket performance data in such graph were determined by, for the Japanese Yen and the Swiss Franc, the rates reported by Bloomberg Financial Markets and, for the British Pound Sterling and the European Union Euro, dividing one by the rates reported by Bloomberg Financial Markets, and may not be indicative of the Basket performance using the Spot Rates of the Basket Currencies at approximately 6:00 p.m., New York City time (or, solely with respect to the Spot Rates on the pricing date, at approximately 11:00 a.m., New York City time, on such date), that would be derived from the applicable Reuters page.
The Spot Rates of the Japanese Yen, the British Pound Sterling, the European Union Euro and the Swiss Franc, at approximately 11:00 a.m., New York City time, on May 15, 2008, were 104.805, 0.513795, 0.64610 and 1.05510, respectively, calculated in the manner set forth under Key Terms Basket Closing Level on the cover of this term sheet (except that the Spot Rates were determined at approximately 11:00 a.m., New York City time, instead of 6:00 p.m., New York City time).
We obtained the data needed to construct the graph which displays the weekly performance of the Basket from Bloomberg Financial Markets, and we obtained the exchange rates and the denominators used to calculate the Spot Rates from Reuters Group PLC. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets or Reuters Group PLC. The historical performance of each Basket Currency and the Basket should not be taken as an indication of future performance, and no assurance can be given as to the Spot Rate of any of the Basket Currencies on the Observation Date. We cannot give you assurance that the performance of the Basket will result in a payment at maturity in excess of $900 per $1,000 principal amount of your notes.
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JPMorgan
Structured Investments |
TS-4 |