Term sheet |
Term Sheet to Product Supplement No. 103-I Registration Statement No. 333-130051 Dated April 22, 2008; Rule 433 |
Structured |
JPMorgan
Chase & Co. $ Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting ofthe Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index due May 18, 2009 |
General
Key Terms
Basket/Basket Components: |
The notes are linked to a weighted basket consisting of three buffered return enhanced components (each a Basket Component, and together, the Basket Components, each linked to an international index (each a Component Underlying, and together, the Component Underlyings) as set forth below: |
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Component Underlying |
Component Weighting |
Buffer Amount |
Upside |
Maximum |
Downside Leverage Factor |
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Dow Jones EURO STOXX 50® Index |
55% |
10% |
2 |
15.60% |
1.1111 |
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FTSE 100 Index |
25% |
10% |
2 |
13.20% |
1.1111 |
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TOPIX® Index |
20% |
10% |
2 |
16.40% |
1.1111 |
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* The actual Maximum Return for each Basket Component will be set on the pricing date and will not be less than the applicable percentage set forth in the table above. The maximum payment at maturity, based on the percentages set forth above, is $1,151.60 per $1,000 principal amount note. |
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Payment at Maturity: |
The amount you will receive at maturity is based on the Basket Return, which in turn is based on the performance of the Basket Components. At maturity, your payment per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 x Basket Return) |
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Basket Return: |
The sum of the products of (a) the Component Return of each Basket Component and (b) the Component Weighting of such Basket Component. |
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Component Return: |
With respect to each Basket Component, the Component Return will be calculated as follows: |
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Ending Underlying Level |
Component Return |
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is greater than the Starting Underlying Level |
Underlying Return x upside leverage factor, subject to the Maximum Return |
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is equal to the Starting Underlying Level or less than the Starting Underlying Level by not more than the buffer amount |
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is less than the Starting Underlying Level by more than the buffer amount |
(Underlying Return + buffer amount) x downside leverage factor |
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For each Basket Component, if the Ending Underlying Level for the applicable Component Underlying declines from the Starting Underlying Level for such Component Underlying by more than 10%, your return on the notes at maturity may be adversely affected and you may lose some or all of your investment at maturity. |
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Maximum Return: |
With respect to a Basket Component, a percentage that we will determine on the pricing date and that will not be less than the respective percentage set forth above under Basket/Basket Components. For example, if the Underlying Return for the Dow Jones EURO STOXX 50® Index is more than 7.80%, the applicable Component Return will be equal to the applicable Maximum Return, or 15.60%*. |
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Underlying Return: |
With respect to each Component Underlying, the performance of the Component Underlying from the Starting Underlying Level to the Ending Underlying Level, calculated as follows: |
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Ending Underlying
Level Starting Underlying Level |
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Starting Underlying Level: |
With respect to each Component Underlying, the Index closing level on the pricing date. |
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Ending Underlying Level: |
With respect to each Component Underlying, the arithmetic average of the Index closing levels on each of the Ending Averaging Dates. |
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Ending Averaging Dates: |
May 7, 2009, May 8, 2009, May 11, 2009, May 12, 2009 and May 13, 2009 |
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Maturity Date: |
May 18, 2009 |
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CUSIP: |
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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. 103-I. |
Investing in the Notes Linked to a Basket Consisting of Buffered Return Enhanced Components involves a number of risks. See Risk Factors beginning on page PS-9 of the accompanying product supplement no. 103-I and Selected Risk Considerations beginning on page TS-3 of this term sheet.
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. 103-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.
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) |
Please see Supplemental Underwriting Information in this term sheet for information about commissions. |
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
April 22, 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. 103-I dated October 19, 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. 103-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):
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.
What Is the Underlying Return for Each Component Underlying and the Corresponding Component Return for Each Basket Component Assuming a Range of Performance for Each Component Underlying?
The following table illustrates the hypothetical Underlying Return for each Component Underlying and the corresponding Component Return for each Basket Component. The hypothetical Underlying Returns and Component Returns set forth below assume a Starting Underlying Level of 3800, 6050 and 1350 for the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, respectively, and a Maximum Return of 15.60%, 13.20% and 16.40% for the Basket Components linked to the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, respectively. The hypothetical Underlying Returns and Component Returns set forth below are for illustrative purposes only and may not be the actual Underlying Returns and Component Returns applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
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Dow Jones EURO STOXX 50® Index |
FTSE 100 Index |
TOPIX® Index |
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Ending |
Underlying |
Component |
Ending |
Underlying |
Component |
Ending |
Underlying |
Component |
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6840.00 |
80.00% |
15.60% |
10890.00 |
80.00% |
13.20% |
2430.00 |
80.00% |
16.40% |
6270.00 |
65.00% |
15.60% |
9982.50 |
65.00% |
13.20% |
2227.50 |
65.00% |
16.40% |
5700.00 |
50.00% |
15.60% |
9075.00 |
50.00% |
13.20% |
2025.00 |
50.00% |
16.40% |
5320.00 |
40.00% |
15.60% |
8470.00 |
40.00% |
13.20% |
1890.00 |
40.00% |
16.40% |
4940.00 |
30.00% |
15.60% |
7865.00 |
30.00% |
13.20% |
1755.00 |
30.00% |
16.40% |
4560.00 |
20.00% |
15.60% |
7260.00 |
20.00% |
13.20% |
1620.00 |
20.00% |
16.40% |
4180.00 |
10.00% |
15.60% |
6655.00 |
10.00% |
13.20% |
1485.00 |
10.00% |
16.40% |
4096.40 |
7.80% |
15.60% |
6449.30 |
6.60% |
13.20% |
1460.70 |
8.20% |
16.40% |
4066.00 |
7.00% |
14.00% |
6413.00 |
6.00% |
12.00% |
1458.00 |
8.00% |
16.00% |
4028.00 |
6.00% |
12.00% |
6352.50 |
5.00% |
10.00% |
1444.50 |
7.00% |
14.00% |
3990.00 |
5.00% |
10.00% |
6292.00 |
4.00% |
8.00% |
1431.00 |
6.00% |
12.00% |
3800.00 |
0.00% |
0.00% |
6050.00 |
0.00% |
0.00% |
1350.00 |
0.00% |
0.00% |
3610.00 |
-5.00% |
0.00% |
5747.50 |
-5.00% |
0.00% |
1282.50 |
-5.00% |
0.00% |
3420.00 |
-10.00% |
0.00% |
5445.00 |
-10.00% |
0.00% |
1215.00 |
-10.00% |
0.00% |
3040.00 |
-20.00% |
-11.11% |
4840.00 |
-20.00% |
-11.11% |
1080.00 |
-20.00% |
-11.11% |
2660.00 |
-30.00% |
-22.22% |
4235.00 |
-30.00% |
-22.22% |
945.00 |
-30.00% |
-22.22% |
2280.00 |
-40.00% |
-33.33% |
3630.00 |
-40.00% |
-33.33% |
810.00 |
-40.00% |
-33.33% |
1900.00 |
-50.00% |
-44.44% |
3025.00 |
-50.00% |
-44.44% |
675.00 |
-50.00% |
-44.44% |
1520.00 |
-60.00% |
-55.56% |
2420.00 |
-60.00% |
-55.56% |
540.00 |
-60.00% |
-55.56% |
1140.00 |
-70.00% |
-66.67% |
1815.00 |
-70.00% |
-66.67% |
405.00 |
-70.00% |
-66.67% |
760.00 |
-80.00% |
-77.78% |
1210.00 |
-80.00% |
-77.78% |
270.00 |
-80.00% |
-77.78% |
380.00 |
-90.00% |
-88.89% |
605.00 |
-90.00% |
-88.89% |
135.00 |
-90.00% |
-88.89% |
0.00 |
-100.00% |
-100.00% |
0.00 |
-100.00% |
-100.00% |
0.00 |
-100.00% |
-100.00% |
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JPMorgan
Structured Investments
Notes Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting of the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index |
TS-1 |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the payment at maturity is calculated under various hypothetical circumstances. You should review the following examples in conjunction with the hypothetical table set forth on the previous page, including the underlying assumptions described on the previous page. The hypothetical payments at maturity set forth below are for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1: The level of the Dow Jones EURO STOXX 50® Index increases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 4028, the FTSE 100 Index increases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 6352.50, and the level of the TOPIX® Index increases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 1444.50. Because the Ending Underlying Level of each Component Underlying is greater than its Starting Underlying Level, and each of the Underlying Return of 6.00% for the Dow Jones EURO STOXX 50® Index, 5.00% for the FTSE 100 Index and 7.00% for the TOPIX® Index, each multiplied by 2, does not exceed the applicable Maximum Return of 15.60%, 13.20% and 16.40%, respectively, the Basket Return is calculated as follows:
[(6% x 2) x 55%] + [(5% x 2) x 25%] + [(7% x 2) x 20%] = 11.90%
Accordingly, the investor receives a payment at maturity of $1,119.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x 11.90%) = $1,119.00
Example 2: The level of the Dow Jones EURO STOXX 50® Index increases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 4560, the FTSE 100 Index increases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 7865, and the level of the TOPIX® Index increases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 1890. Because the Ending Underlying Level of each Component Underlying is greater than its Starting Underlying Level, and each of the Underlying Return of 20.00% for the Dow Jones EURO STOXX 50® Index, 30.00% for the FTSE 100 Index and 40.00% for the TOPIX® Index, each multiplied by 2, exceeds the applicable Maximum Return of 15.60%, 13.20% and 16.40%, respectively, the Basket Return is calculated as follows:
(15.60% x 55%) + (13.20% x 25%) + (16.40% x 20%) = 15.16%
Accordingly, the investor receives a payment at maturity of $1,151.60 per $1,000 principal amount note, which reflects the maximum payment at maturity, calculated as follows:
$1,000 + ($1,000 x 15.16%) = $1,151.60
Example 3: The level of the Dow Jones EURO STOXX 50® Index increases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 4180, the FTSE 100 Index increases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 6413, and the level of the TOPIX® Index increases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 1444.50. Because the Ending Underlying Level of each Component Underlying is greater than its Starting Underlying Level, and the Underlying Return of 10.00% for the Dow Jones EURO STOXX 50® Index multiplied by 2 exceeds the applicable Maximum Return of 15.60%, while each of the Underlying Return of 6.00% for the FTSE 100 Index and 7.00% for the TOPIX® Index, each multiplied by 2, does not exceed the applicable Maximum Return of 13.20% and 16.40%, respectively, the Basket Return is calculated as follows:
(15.60% x 55%) + [(6% x 2) x 25%] + [(7% x 2) x 20%] = 14.38%
Accordingly, the investor receives a payment at maturity of $1,143.80 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x 14.38%) = $1,143.80
Example 4: The level of the Dow Jones EURO STOXX 50® Index decreases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 3420, the FTSE 100 Index decreases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 5445, and the level of the TOPIX® Index decreases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 1215. Because the Ending Underlying Level of each Component Underlying is less than its Starting Underlying Level by not more than 10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 5: The level of the Dow Jones EURO STOXX 50® Index decreases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 2660, the FTSE 100 Index decreases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 4840, and the level of the TOPIX® Index decreases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 810. Because the Ending Underlying Level of each Component Underlying is less than its Starting Underlying Level by more than 10%, the Basket Return is calculated as follows:
{[(-30% + 10%) x 1.1111] x 55%} + {[(-20% + 10%) x 1.1111] x 25%} + {[(-40% + 10%) x 1.1111) x 20%} = -21.666%
Accordingly, the investor receives a payment at maturity of $783.34 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x -21.666%) = $783.34
Example 6: The level of the Dow Jones EURO STOXX 50® Index decreases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 2660, the FTSE 100 Index decreases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 5445, and the level of the TOPIX® Index decreases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 810. Because the Ending Underlying Level of the FTSE 100 Index is less than its Starting Underlying Level by not more than 10% and the Ending Underlying Level of each of the other Component Underlyings is less than its Starting Underlying Level by more than 10%, the Basket Return is calculated as follows:
{[(-30% + 10%) x 1.1111] x 55%} + 0% + {[(-40% + 10%) x 1.1111) x 20%} = -18.889%
Accordingly, the investor receives a payment at maturity of $811.11 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x -18.889%) = $811.11
Example 7: The level of the Dow Jones EURO STOXX 50® Index increases from a Starting Underlying Level of 3800 to an Ending Underlying Level of 4028, the FTSE 100 Index decreases from a Starting Underlying Level of 6050 to an Ending Underlying Level of 4840, and the level of the TOPIX® Index decreases from a Starting Underlying Level of 1350 to an Ending Underlying Level of 945. Because the Ending Underlying Level of the Dow Jones EURO STOXX 50® Index is greater than its Starting Underlying Level, and the Underlying Return of 6.00% multiplied by 2 does not exceed the applicable Maximum Return of 15.60%, and the Ending Underlying Level of each of the other Component Underlyings is less than its Starting Underlying Level by more than 10%, the Basket Return is calculated as follows:
[(6% x 2) x 55%] + {[(-20% + 10%) x 1.1111] x 25%} + {[(-30% + 10%) x 1.1111) x 20%} = -0.62%
Accordingly, the investor receives a payment at maturity of $993.78 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x - 0.62%) = $993.78
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JPMorgan
Structured Investments
Notes Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting of the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index |
TS-2 |
Selected Purchase Considerations
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Basket, the Basket Components, the Component Underlyings or any of the component stocks of the Component Underlyings. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 103-I dated October 19, 2007.
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JPMorgan
Structured Investments
Notes Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting of the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index |
TS-3 |
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JPMorgan
Structured Investments
Notes Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting of the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index |
TS-4 |
Historical Information
The following graphs show the historical weekly performance of the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index from January 3, 2003 through April 18, 2008. The Index closing level of the Dow Jones EURO STOXX 50® Index on April 21, 2008 was 3769.89. The Index closing level of the FTSE 100 Index on April 21, 2008 was 6053.00. The Index closing level of the TOPIX® Index on April 21, 2008 was 1331.51.
We obtained the various Index closing levels of the Component Underlying below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of information obtained from Bloomberg Financial Markets. The historical levels of each Component Underlying should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level of any Component Underlying on any of the Ending Averaging Dates. We cannot give you assurance that the performance of the Component Underlyings will result in the return of any of your initial investment.
Supplemental Underwriting Information
JPMSI, acting as agent for JPMorgan Chase & Co., will receive a commission that will depend on market conditions on the pricing date. In no event will that commission, which includes structuring and development fees, exceed $15.00 per $1,000 principal amount note. See Underwriting beginning on page PS-70 of the accompanying product supplement no. 103-I.
For a different portion of the notes to be sold in this offering, an affiliated bank will receive a fee and another affiliate will receive a structuring and development fee. In no event will the total amount of these fees exceed $15.00 per $1,000 principal amount note.
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JPMorgan
Structured Investments
Notes Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting of the Dow Jones EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index |
TS-5 |