Term
Sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 108-I dated December 13, 2007
|
Term
Sheet to
Product
Supplement No. 108-I
Registration
Statement No. 333-130051
Dated
April 4, 2008; Rule 433
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Structured
Investments
|
JPMorgan
Chase & Co.
$
Upside
Auto Callable Reverse Exchangeable Notes due October 31,
2008
Each
Linked to the Common Stock of a Different Single Reference Stock
Issuer
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·
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This
term
sheet relates to four (4) separate note offerings. Each issue of
offered
notes is linked to one, and only one, Reference Stock. You may participate
in any of the four (4) note offerings or, at your election, in two
or more
of the offerings. This term sheet does not, however, allow you to
purchase
a note linked to a basket of some or all of the Reference Stocks
described
below.
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·
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The
notes are
designed for investors who seek an interest rate that is higher than
the
current dividend yield on the applicable Reference Stock or the yield
on a
conventional debt security with the same maturity issued by us or
an
issuer with a comparable credit rating. Investors should be willing
(i) to
forgo the potential to participate in the appreciation of the applicable
Reference Stock, (ii) to accept the risks of owning the common stock
of
the applicable Reference Stock issuer, (iii) to assume the risk that
the
notes will be automatically called and the investor will receive
less
interest than if the notes are not automatically called, and, (iv)
if the
notes are not automatically called, to lose some or all of their
principal
at maturity.
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·
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Investing
in
the notes is not equivalent to investing in the shares of an issuer
of any
of the Reference Stocks.
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·
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Each
issue of
offered notes will pay interest monthly at the applicable fixed rate
specified for that issue below. However,
the
notes do not guarantee any return of principal at
maturity.
Instead,
if the notes are not automatically called, the payment at maturity
will be
based on the Final Share Price of the applicable Reference Stock
and
whether the closing price of the applicable Reference Stock has declined
from the applicable Initial Share Price by more than the applicable
Protection Amount during the Monitoring Period, as described below.
If the
notes are automatically called you will receive, for each $1,000
principal
amount note, $1,000 plus accrued and unpaid
interest.
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·
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If
the notes
are not automatically called, payment at maturity for each $1,000
principal amount note will be either a cash payment of $1,000 or
delivery
of shares of the applicable Reference Stock (or, at our election,
the Cash
Value thereof), in each case, together with any accrued and unpaid
interest, as described below.
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·
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Minimum
denominations of $1,000 and integral multiples
thereof.
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Automatic
Call:
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If
on the
Call Date, the closing price of the applicable Reference Stock is
greater
than the applicable Initial Share Price, the notes will be automatically
called.
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Payment
if
Called:
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If
the notes
are automatically called, on the Call Settlement Date, for each $1,000
principal amount note, you will receive $1,000 plus any accrued and
unpaid
interest to but excluding the Call Settlement Date.
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Payment
at
Maturity:
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If
the notes
are not automatically called, the payment at maturity, in excess
of any
accrued and unpaid interest, will be based on the performance of
the
applicable Reference Stock. If the notes are not automatically called,
for
each $1,000 principal amount note, you will receive $1,000 plus any
accrued and unpaid interest at maturity, unless:
(1)
the
applicable Final Share Price is less than the applicable Initial
Share
Price; and
(2)
on
any day
during the Monitoring Period, the closing
price
of the
applicable Reference Stock has declined, as compared to the applicable
Initial Share Price, by more than the applicable Protection Amount.
If
the notes
are not automatically called and the conditions described in both
(1) and
(2) are satisfied, at maturity you will receive, in addition to any
accrued and unpaid interest and instead of the principal amount of
your
notes, the number of shares of the applicable Reference Stock equal
to the
applicable Physical Delivery Amount (or, at our election, the Cash
Value
thereof). Fractional shares will be paid in cash. The
market value of the Physical Delivery Amount or the Cash Value thereof
will most likely be substantially less than the principal amount
of your
notes, and may be zero.
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Maturity
Date:
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October
31,
2008*
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Pricing
Date:
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On
or about
April 25, 2008
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Settlement
Date:
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On
or about
April 30, 2008
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Call
Date:
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July
28,
2008*
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Call
Settlement Date:
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July
31,
2008*, which is the third business day after the Call
Date.
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Observation
Date:
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October
28,
2008*
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Interest
Payment Date:
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Interest
on
the notes will be payable monthly in arrears on the last calendar
day
of each month (each such date, an “Interest Payment Date”), commencing May
31, 2008, to and including the Interest Payment Date corresponding
to the
Maturity Date, unless the notes are automatically called. If the
notes are
automatically called, interest will accrue to but excluding the Call
Settlement Date, and will be payable on each Interest Payment Date
occurring before the Call Settlement Date and on the Call Settlement
Date.
See “Selected Purchase Considerations — Monthly Interest Payments” in
this term sheet for more information.
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Monitoring
Period:
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The
period
from the Pricing Date to and including the Observation Date.
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Physical
Delivery Amount:
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The
number of
shares of the applicable Reference Stock, per $1,000 principal amount
note, equal to $1,000 divided by the applicable Initial Share Price,
subject to adjustments.
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Cash
Value:
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For
each
Reference Stock, the amount in cash equal to the product of (1) $1,000
divided by the Initial Share Price of such Reference Stock and (2)
the
Final Share Price of such Reference Stock, subject to
adjustments.
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Initial
Share
Price:
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The
closing
price of the applicable Reference Stock on the Pricing Date. The
Initial
Share Price is subject to adjustments in certain circumstances. See
“Description of Notes — Payment at Maturity” and “General Terms of
Notes — Anti-Dilution Adjustments” in the accompanying product
supplement no. 108-I for further information about these
adjustments.
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Final
Share
Price:
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The
closing
price of the applicable Reference Stock on the Observation
Date.
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Interest
Rate
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Approximate
Tax Allocation of
Monthly
Coupon†
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|||||||||
Page
Number
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Ticker
Symbol
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If
Not
Automatically Called
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If
Automatically Called
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Protection
Amount
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Initial
Share Price
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CUSIP
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Approximate
Monthly Coupon
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Interest
on Deposit
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Put
Premium
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Google
Inc.
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TS-4
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GOOG
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6.375%
(equivalent to 12.75% per annum)
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3.1875%
(equivalent to 12.75% per annum)
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20%
of the
Initial Share Price
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48123MM74
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$10.63
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20.78%
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79.22%
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Monsanto
Company
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TS-6
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MON
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7.00%
(equivalent to 14.00% per annum)
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3.50%
(equivalent to 14.00% per annum)
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40%
of the
Initial Share Price
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48123MM82
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$11.67
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18.93%
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81.07%
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|
Research
In Motion Limited
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TS-8
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RIMM
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7.50%
(equivalent to 15.00% per annum)
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3.75%
(equivalent to 15.00% per annum)
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40%
of the
Initial Share Price
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48123MM90
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$12.50
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17.67%
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82.33%
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Wachovia
Corporation
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TS-10
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WB
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9.00%
(equivalent to 18.00% per annum)
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4.50%
(equivalent to 18.00% per annum)
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40%
of the
Initial Share Price
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48123MN24
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$15.00
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14.72%%
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85.28%
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*
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Subject
to
postponement in the event of a market disruption event and as described
under “Description of Notes — Automatic Call” or “Description of
Notes — Payment at Maturity,” as applicable, in the accompanying
product supplement no. 108-I.
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†
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Based
on one
reasonable treatment of the notes, as described herein under “Selected
Purchase Considerations — Tax Treatment as a Unit Comprising a Put
Option and a Deposit” and in the accompanying product supplement no. 108-I
under “Certain U.S. Federal Income Tax Consequences” on page PS-29. The
allocations presented herein were determined as of April 3, 2008;
the
actual allocations will be determined as of the Pricing Date and
may
differ.
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Price
to Public
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Fees
and Commissions (1)
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Proceeds
to Us
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Per
note
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$
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$
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$
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Total
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$
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$
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$
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(1)
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In
no event
will the fees and commissions received by J.P. Morgan Securities
Inc.,
which we refer to as JPMSI, which include concessions to be allowed
to
other dealers, exceed $60.00 per $1,000 principal amount note for
any of
the four (4) offerings listed above. For more detailed information
about
fees, commissions and concessions, please see “Supplemental Underwriting
Information” on the last page of this term
sheet.
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·
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Product
supplement no. 108-I dated December 13, 2007:
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Prospectus
supplement dated October 12, 2006:
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Prospectus
dated December 1, 2005:
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THE
NOTES OFFER A HIGHER INTEREST RATE THAN THE YIELD ON DEBT SECURITIES
OF
COMPARABLE MATURITY ISSUED BY US OR AN ISSUER WITH A COMPARABLE CREDIT
RATING —
The
notes will pay interest at an Interest Rate depending upon the applicable
Reference Stock, as indicated on the cover of this term sheet. We
believe
that the applicable Interest Rate is higher than the yield received
on
debt securities of comparable maturity issued by us or an issuer
with a
comparable credit rating. Because the notes are our senior unsecured
obligations, any interest payment or any payment at maturity is subject
to
our ability to pay our obligations as they become
due.
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MONTHLY
INTEREST PAYMENTS — The
notes offer monthly interest payments at the applicable Interest
Rate set
forth on the cover of this term sheet. Interest will be payable monthly
in
arrears on the last calendar
day of each month (each such date, an “Interest Payment Date”), commencing
May 31, 2008, to and including the Interest Payment Date corresponding
to
the Maturity Date, unless the notes are automatically called. If
the notes
are automatically called, interest will accrue to but excluding the
Call
Settlement Date, and will be payable on each Interest Payment Date
occurring before the Call Settlement Date and on the Call Settlement
Date.
Interest will be payable to the holders of record at the close of
business
on the date 15 calendar days prior to the applicable Interest Payment
Date
or Call Settlement Date. If an Interest Payment Date is not a business
day, payment will be made on the next business day immediately following
such day, but no additional interest will accrue as a result of the
delayed payment.
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POTENTIAL
EARLY EXIT WITH FULL PRINCIPAL PROTECTION AS A RESULT OF THE AUTOMATIC
CALL FEATURE —
If the closing price of the applicable Reference Stock is greater
than the
applicable Initial Share Price on the Call Date, your notes will
be
automatically called prior to the maturity date. Under these
circumstances, on the Call Settlement Date, for each $1,000 principal
amount note, you will receive $1,000 plus accrued and unpaid interest
to
but excluding the Call Settlement
Date.
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·
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THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES
ARE NOT
AUTOMATICALLY CALLED —
If
the
notes are not automatically called, your return of principal at maturity
is protected so long as the applicable Final Share Price does not
decline
from the applicable Initial Share Price or the closing price of the
applicable Reference Stock does not decline, as compared to the applicable
Initial Share Price, by more than the applicable Protection Amount
on any
day during the Monitoring Period. However,
if the notes are not automatically called, if the applicable Final
Share
Price declines from the applicable Initial Share Price and the closing
price of the applicable Reference Stock on any day during the Monitoring
Period has declined by more than the applicable Protection Amount,
you
could lose the entire principal amount of your
notes.
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TAX
TREATMENT AS A UNIT COMPRISING A PUT OPTION AND A DEPOSIT —
You
should review carefully the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 108-I.
Subject to the limitations described therein, and based on certain
factual
representations received from us, in the opinion of our special
tax
counsel,
Davis Polk & Wardwell, it is reasonable to treat the notes for U.S.
federal income tax purposes as units comprising:
(i) a
put option written by you that is
automatically terminable in
circumstances where
the
Automatic Call occurs and
that, if not terminated,
requires you to purchase the Reference Stock from us (or, at our
option,
the cash value thereof) at maturity under
circumstances where the payment at maturity is the Physical Delivery
Amount and (ii) a deposit of $1,000 per $1,000 principal amount note
to
secure your potential obligation to purchase the Reference Stock.
We will
determine the portion of each coupon payment that we will allocate
to
interest on the Deposit and to Put Premium, respectively, and will
provide
those allocations in the pricing supplement for the notes. By purchasing
the notes, you agree to treat the notes for U.S. federal income tax
purposes consistently with our treatment and allocations as described
above. If the notes had priced on April 3, 2008, the coupon payments
and
the percentages thereof that we would have treated as interest on
the
Deposit and as Put Premium would have been as specified on the cover
of
this term sheet. The actual allocations that we will determine for
the
notes may differ from those hypothetical allocations, and will depend
upon
a variety of factors, including actual market conditions and our
borrowing
costs for debt instruments of comparable maturities on the Pricing
Date.
Assuming
this characterization is respected, amounts treated as interest on
the
Deposit will be taxed as ordinary income while the Put Premium will
not be
taken into account prior to maturity or sale including an automatic
call.
However, there are other reasonable treatments that the Internal
Revenue
Service (the “IRS”) or a court may adopt, in which case the timing and
character of any income or loss on the notes could be significantly
and
adversely affected. In addition, on December 7, 2007, Treasury and
the IRS
released a notice requesting comments on the
U.S. federal income tax treatment
of“prepaid
forward contracts” and similar instruments.
While it is not clear whether the notes would be viewed as similar
to the
typical prepaid forward contract described in the notice, it is possible
that any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect
the
tax consequences of an investment in the notes, possibly with retroactive
effect.
The notice focuses on a number of issues, the most relevant of which
for
holders of the notes are
the character of income or loss (including whether the Put Premium
might
be currently included as ordinary income) and the degree, if any,
to which
income realized by Non-U.S. Holders should be subject to withholding
tax.
Both U.S.
and Non-U.S. Holders
should consult their
tax advisers
regarding all
aspects of the
U.S.
federal income tax consequences of an investment in
the notes, including possible alternative treatments
and the issues presented by
this notice. Purchasers who are not initial purchasers of notes at
the
issue price should
also
consult their tax advisers with respect to the
tax consequences of an investment
in the notes, including possible
alternative characterizations, as well as the allocation
of the purchase price of the notes between the Deposit and the Put
Option.
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes do not guarantee any return of principal if the notes are not
automatically called. If the notes are not automatically called,
the
payment at maturity will be based on the applicable Final Share Price
and
whether the closing price of the applicable Reference Stock has declined
from the applicable Initial Share Price by more than the applicable
Protection Amount on any day during the Monitoring Period. Under
certain
circumstances, you will receive at maturity a predetermined number
of
shares of the applicable Reference Stock (or, at our election, the
Cash
Value thereof). The market value of those shares of the applicable
Reference Stock or the Cash Value thereof will most likely be less
than
the principal amount of each note and may be zero. Accordingly,
you could lose up to the entire principal amount of your
notes.
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·
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THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY
EXIT — The
notes
will be called before maturity if the closing price of the applicable
Reference Stock is greater than the applicable Initial Share Price
on the
Call Date. Under these circumstances, the amount of interest payable
on
the notes will be less than the full amount of interest that would
have
been payable if the notes were held to maturity, and, for each $1,000
principal amount note, you will receive $1,000 plus accrued and unpaid
interest to but excluding the Call Settlement
Date.
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·
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YOUR
PROTECTION MAY TERMINATE ON ANY DAY DURING THE TERM OF THE
NOTES —
If the notes
are not automatically called and, on any day during the Monitoring
Period,
the closing price of the applicable Reference Stock declines below
the
applicable Initial Share Price minus the applicable Protection Amount,
you
will at maturity be fully exposed to any depreciation in the applicable
Reference Stock. We refer to this feature as a contingent buffer.
Under
these circumstances, and
if the
applicable Final Share Price is less than the applicable Initial
Share
Price, you will receive at maturity a predetermined number of shares
of
the applicable Reference Stock (or, at our election, the Cash Value
thereof) and, consequently, you will lose 1% of the principal amount
of
your investment for every 1% decline in the applicable Final Share
Price
compared to the applicable Initial Share Price. You will be subject
to
this potential loss of principal even if the price of the applicable
Reference Stock subsequently recovers such that the applicable Final
Share
Price is above the applicable Initial Share Price minus the applicable
Protection Amount. If these notes had a non-contingent buffer feature,
under the same scenario, you would have received the full principal
amount
of your notes plus accrued and unpaid interest at maturity. As a
result,
your investment in the notes may not perform as well as an investment
in a
security with a return that includes a non-contingent
buffer.
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·
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YOUR
RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS ACCRUED
INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF THE APPLICABLE
REFERENCE STOCK —
If
the notes are not automatically called, unless (i) the applicable
Final
Share Price is less than the applicable Initial Share Price and (ii)
on
any day during the Monitoring Period, the closing price of the applicable
Reference Stock has declined, as compared to the applicable Initial
Share
Price, by more than the applicable Protection Amount, for each $1,000
principal amount note, you will receive $1,000 at maturity plus any
accrued and unpaid interest, regardless of any appreciation in the
value
of the applicable Reference Stock, which may be significant. If the
notes
are automatically called, for each $1,000 principal amount note,
you will
receive $1,000 on the Call Settlement Date plus any accrued and unpaid
interest, regardless of the appreciation in the value of the applicable
Reference Stock, which may be significant. Accordingly, the return
on the
notes may be significantly less than the return on a direct investment
in
the applicable Reference Stock during the term of the
notes.
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·
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NO
OWNERSHIP RIGHTS IN THE APPLICABLE REFERENCE STOCK —
As
a
holder of the notes, you will not have any ownership interest or
rights in
the applicable Reference Stock, such as voting rights or dividend
payments. In addition, the applicable Reference Stock issuer will
not have
any obligation to consider your interests as a holder of the notes
in
taking any corporate action that might affect the value of the applicable
Reference Stock and the notes.
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·
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NO
AFFILIATION WITH THE REFERENCE STOCK ISSUERS —
We
are not affiliated with the issuers of the Reference Stocks. We assume
no
responsibility for the adequacy of the information about the Reference
Stock issuers contained in this term sheet or in product supplement
no.
108-I. You should make your own investigation into the Reference
Stocks
and their issuers. We are not responsible for the Reference Stock
issuers’
public disclosure of information, whether contained in SEC filings
or
otherwise.
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RISKS
ASSOCIATED WITH NON-U.S. SECURITIES —
An investment in the notes linked to the value of non-U.S. equity
securities, such as the common shares of Research In Motion Limited
(“RIM”
and such common shares, the “common stock of RIM”) which is issued by a
Canadian issuer and traded on both The NASDAQ Stock Market in U.S.
dollars
and the Toronto Stock Exchange in Canadian dollars, involves risks
associated with the home country of the issuer of the non-U.S. equity
securities. The notes linked to the common stock of RIM are linked
to such
common stock quoted and traded in U.S. dollars on The NASDAQ Stock
Market,
which may trade differently from such common stock, quoted and traded
in
Canadian dollars on the Toronto Stock Exchange. Non-U.S. companies,
such
as those in Canada, are generally subject to accounting, auditing
and
financial reporting standards and requirements, and securities trading
rules different from those applicable to U.S. reporting companies.
The
prices of non-U.S. equity securities may be affected by political,
economic, financial and social factors in the home country of the
issuer
of the non-U.S. equity securities, including changes in such country’s
government, economic and fiscal policies, currency exchange laws
or other
laws or restrictions. Moreover, the economies of such country may
differ
favorably or unfavorably from the economy of the United States in
such
respects as growth of gross national product, rate of inflation,
capital
reinvestment, resources and self sufficiency. Such country may be
subjected to different and, in some cases, more adverse economic
environments.
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·
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THE
NOTES LINKED TO THE COMMON STOCK OF RIM ARE SUBJECT TO CURRENCY EXCHANGE
RATE RISK —
Because the common stock of RIM is quoted and traded in U.S. dollars
on
The NASDAQ Stock Market and in Canadian dollars on the Toronto Stock
Exchange, fluctuations in the exchange rate between the Canadian
dollar
and the U.S. dollar will likely affect the relative value of the
common
stock of RIM in the two different currencies and, as a result, will
likely
affect the market price of the common stock of RIM trading on The
NASDAQ
Stock Market. These trading differences and currency exchange may
affect
the market value of the notes and whether the closing price of the
common
stock of RIM will fall below the Protection Amount on any trading
day
during the Monitoring Period and whether the Final Share Price will
be
greater than, equal to or less than the Initial Share Price. The
Canadian
dollar has been subject to fluctuations against the U.S. dollar in
the
past, and may be subject to significant fluctuations in the future.
Previous fluctuations or periods of relative stability in the exchange
rate of the Canadian dollar and the U.S. dollar are not necessarily
indicative of fluctuations or periods of relative stability in those
rates
that may occur over the term of the notes linked to the common stock
of
RIM are linked to such common stock. The exchange rate between the
Canadian dollar and the U.S. dollar is the result of the supply of,
and
the demand for, those currencies. Changes in the exchange rate result
over
time from the interaction of many factors directly or indirectly
affecting
economic and political conditions in Canada and the United States,
including economic and political developments in other countries.
Of
particular importance are rates of inflation, interest rate levels,
the
balance of payments and the extent of governmental surpluses or deficits
in Canada and the United States, all of which are in turn sensitive
to the
monetary, fiscal and trade policies pursued by Canada, the United
States
and other jurisdictions important to international trade and
finance.
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·
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CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES
PRIOR
TO MATURITY —
While
the payment at maturity, if any, or upon an automatic call described
in
this term sheet is based on the full principal amount of your notes,
the
original issue price of the notes includes the agent’s commission and the
estimated cost of hedging our obligations under the notes through
one or
more of our affiliates. As a result, and as a general matter, the
price,
if any, at which JPMSI will be willing to purchase notes from you
in
secondary market transactions, if at all, will likely be lower than
the
original issue price and any sale prior to the Maturity Date could
result
in a substantial loss to you. This secondary market price will also
be
affected by a number of factors aside from the agent’s commission and
hedging costs, including those referred to under “Many Economic and Market
Factors Will Impact the Value of the Notes”
below.
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·
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LACK
OF LIQUIDITY — The
notes
will not be listed on any securities exchange. JPMSI intends to offer
to
purchase the notes in the secondary market but is not required to
do so.
Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Because other dealers
are
not likely to make a secondary market for the notes, the price at
which
you may be able to trade your notes is likely to depend on the price,
if
any, at which JPMSI is willing to buy the notes.
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·
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POTENTIAL
CONFLICTS —
We
and our affiliates play a variety of roles in connection with the
issuance
of the notes, including acting as calculation agent. In performing
these
duties, the economic interests of the calculation agent and other
affiliates of ours are potentially adverse to your interests as an
investor in the notes. We and/or our affiliates may also currently
or from
time to time engage in business with the Reference Stock issuers,
including extending loans to, or making equity investments in, such
Reference Stock issuer(s) or providing advisory services to such
Reference
Stock issuer(s). In addition, one or more of our affiliates may publish
research reports or otherwise express opinions with respect to the
Reference Stock issuers and these reports may or may not recommend
that
investors buy or hold the Reference Stock(s). As a prospective purchaser
of the notes, you should undertake an independent investigation of
the
applicable Reference Stock issuer that in your judgment is appropriate
to
make an informed decision with respect to an investment in the notes.
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·
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HEDGING
AND TRADING IN THE REFERENCE STOCK —
While
the notes are outstanding, we or any of our affiliates may carry
out
hedging activities related to the notes, including in the Reference
Stocks
or instruments related to such Reference Stock(s). We or our affiliates
may also trade in the Reference Stocks or instruments related to
Reference
Stock(s) from time to time. Any of these hedging or trading activities
as
of the Pricing Date and during the term of the notes could adversely
affect our payment to you at
maturity.
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·
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MANY
ECONOMIC AND MARKET FACTORS WILL INFLUENCE THE VALUE OF THE
NOTES —
In addition
to the value of the applicable Reference Stock and interest rates
on any
trading day, the value of the notes will be affected by a number
of
economic and market factors that may either offset or magnify each
other
and which are set out in more detail in product supplement no. 108-I.
|
·
|
the
Initial
Share Price:
|
$455.00
|
· the
Protection Amount: $91.00
|
·
|
the
Interest Rate:
|
6.375%
(equivalent to 12.75% per annum) if the note is held to
maturity
|
|
3.1875%
(equivalent to 12.75% per annum) if the note is automatically
called
|
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$432.25
|
$432.25
|
$910.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$455.00
|
$910.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$227.50
|
$432.25
|
$477.75
|
$1,000.00
|
N/A
|
$1,000.00
|
$227.50
|
$477.75
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$455.00
|
$455.00
|
$455.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$364.00
|
$409.50
|
$364.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$227.50
|
$455.00
|
$432.25
|
2
shares of
the
Reference
Stock or the
Cash
Value
thereof
|
N/A
|
$950.00
|
$227.50
|
$386.75
|
$227.50
|
2
shares of
the
Reference
Stock or the
Cash
Value
thereof
|
N/A
|
$500.00
|
$113.75
|
$227.50
|
$113.75
|
2
shares of
the
Reference
Stock or the
Cash
Value
thereof
|
N/A
|
$250.00
|
$0.00
|
$136.50
|
$0.00
|
2
shares of
the
Reference
Stock or the
Cash
Value
thereof
|
N/A
|
$0.00
|
**
|
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the Cash
Value
thereof) or the principal amount of your note in cash or (2) on the
Call
Settlement Date, $1,000 in cash. Also note that if you receive the
Physical Delivery Amount at maturity, the total value of payment
received
at maturity shown in the table above includes the value of any fractional
shares, which will be paid in cash.
|
·
|
the
Initial Share Price:
|
$118.00
|
•
the Protection Amount: $47.20
|
·
|
the
Interest Rate:
|
7.00%
(equivalent to 14.00% per annum) if the note is held to
maturity
|
|
3.50%
(equivalent to 14.00% per annum) if the note is automatically
called
|
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$112.10
|
$112.10
|
$236.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$118.00
|
$236.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$59.00
|
$112.10
|
$123.90
|
$1,000.00
|
N/A
|
$1,000.00
|
$59.00
|
$123.90
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$118.00
|
$118.00
|
$118.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$70.80
|
$82.60
|
$70.80
|
$1,000.00
|
N/A
|
$1,000.00
|
$59.00
|
$118.00
|
$112.10
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$59.00
|
$76.70
|
$59.00
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$500.00
|
$29.50
|
$59.00
|
$29.50
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$35.40
|
$0.00
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
**
|
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the Cash
Value
thereof) or the principal amount of your note in cash or (2) on the
Call
Settlement Date, $1,000 in cash. Also note that if you receive the
Physical Delivery Amount at maturity, the total value of payment
received
at maturity shown in the table above includes the value of any fractional
shares, which will be paid in cash.
|
·
|
the
Initial
Share Price:
|
$123.00
|
·
the
Protection Amount: $49.20
|
·
|
the
Interest
Rate:
|
7.50%
(equivalent to 15.00% per annum) if the note is held to
maturity
|
|
3.75%
(equivalent to 15.00% per annum) if the note is automatically
called
|
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$116.85
|
$116.85
|
$246.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$123.00
|
$246.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$61.50
|
$116.85
|
$129.15
|
$1,000.00
|
N/A
|
$1,000.00
|
$61.50
|
$129.15
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$123.00
|
$123.00
|
$123.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$73.80
|
$86.10
|
$73.80
|
$1,000.00
|
N/A
|
$1,000.00
|
$61.50
|
$123.00
|
$116.85
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$61.50
|
$79.95
|
$61.50
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$500.00
|
$30.75
|
$61.50
|
$30.75
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$36.90
|
$0.00
|
8
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
**
|
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the Cash
Value
thereof) or the principal amount of your note in cash or (2) on the
Call
Settlement Date, $1,000 in cash. Also note that if you receive the
Physical Delivery Amount at maturity, the total value of payment
received
at maturity shown in the table above includes the value of any fractional
shares, which will be paid in cash.
|
·
|
the
Initial
Share Price:
|
$28.00
|
·
the
Protection Amount: $11.20
|
·
|
the
Interest
Rate:
|
9.00%
(equivalent to 18.00% per annum) if the note is held to
maturity
|
|
4.50%
(equivalent to 18.00% per annum) if the note is automatically
called
|
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$26.60
|
$26.60
|
$56.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$28.00
|
$56.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$14.00
|
$26.60
|
$29.40
|
$1,000.00
|
N/A
|
$1,000.00
|
$14.00
|
$29.40
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$28.00
|
$28.00
|
$28.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$16.80
|
$19.60
|
$16.80
|
$1,000.00
|
N/A
|
$1,000.00
|
$14.00
|
$28.00
|
$26.60
|
35
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$14.00
|
$18.20
|
$14.00
|
35
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$500.00
|
$7.00
|
$14.00
|
$7.00
|
35
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$8.40
|
$0.00
|
35
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
**
|
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the Cash
Value
thereof) or the principal amount of your note in cash or (2) on the
Call
Settlement Date, $1,000 in cash. Also note that if you receive the
Physical Delivery Amount at maturity, the total value of payment
received
at maturity shown in the table above includes the value of any fractional
shares, which will be paid in cash.
|