Term
sheet
To prospectus dated December 1, 2005, prospectus supplement dated December 1, 2005 and product supplement no. 18-I dated March 16, 2006 |
Term
Sheet No. 84 to
Product
Supplement No. 18-I
Registration
Statement No. 333-130051
Dated February 22, 2008; Rule 433 |
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Structured
Investments |
JPMorgan
Chase & Co.
$ Buffered Return Enhanced Notes Linked to the S&P 500® Index due March 31, 2009 |
·
|
The
notes are
designed for investors who seek a return of twice the appreciation
of the
S&P 500®
Index up to
a maximum total return on the
notes of
15.75%* at maturity. Investors should be willing to forgo
interest and
dividend payments and, if the Index declines by more
than
10%, be willing to lose up to 90% of their
principal.
|
·
|
Senior
unsecured obligations of JPMorgan Chase & Co. maturing March 31,
2009†.
|
·
|
Minimum
denominations of $1,000 and integral multiples
thereof.
|
· |
The
notes are
expected to price on or about February 25, 2008 and
are
expected to settle on or about February 28,
2008.
|
Index:
|
The
S&P
500®
Index
(“SPX”) (the “Index”)
|
Upside
Leverage Factor:
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2
|
Payment
at
Maturity:
|
If
the Ending
Index Level is greater than the Initial Index Level, you will receive
a
cash payment that provides you with a return per $1,000 principal
amount
note equal to the Index Return multiplied by 2, subject to a Maximum
Total
Return on the notes of 15.75%*.
For
example, if the Index Return is equal to or more than 7.875%, you
will
receive the Maximum Total Return on the notes of 15.75%*,
which
entitles you to a maximum payment at maturity of $1,157.50 for
every
$1,000 principal amount note that you hold. Accordingly, if the
Index
Return is positive, your payment per $1,000 principal amount note
will be
calculated as follows, subject to the Maximum Total
Return:
|
$1,000
+[$1,000 x (Index Return x 2)]
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|
*The
actual
Maximum Total Return on the notes will be set on the pricing date
and will
not be less than 15.75%.
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|
Your
principal is protected against up to a 10% decline of the Index
at
maturity. If the Ending Index Level declines from the Initial Index
Level
by up to 10%, you will receive the principal amount of your notes
at
maturity.
If
the Ending
Index Level declines from the Initial Index Level by more than
10%, you
will lose 1% of the principal amount of your notes for every 1%
that the
Index declines beyond 10% and your final payment per $1,000 principal
amount note will be calculated as follows:
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|
$1,000
+
[$1,000 x (Index Return + 10%)]
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|
If
the
Ending Index Level declines from the Initial Index Level by more
than 10%,
you could lose up to $900 per $1,000 principal amount
note.
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|
Buffer
Amount:
|
10%,
which
results in a minimum payment of $100 per $1,000 principal amount
note.
|
Index
Return:
|
Ending
Index Level - Initial Index Level
Initial
Index
Level
|
Initial
Index
Level:
|
The
Index
closing level on the pricing date, which is expected to be February
25,
2008.
|
Ending
Index
Level:
|
The
Index
closing level on the Observation Date.
|
Observation
Date:
|
March
26,
2009†
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Maturity
Date:
|
March
31,
2009†
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CUSIP:
|
48123MVX7
|
†
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Subject
to
postponement in the event of a market disruption event and as
described
under “Description of Notes — Payment at Maturity” in the accompanying
product supplement no. 18-I.
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Price
to Public
|
Fees
and Commissions (1)
|
Proceeds
to Us
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|
Per
note
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$
|
$
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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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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 $9.00 per $1,000 principal amount
note and
would use a portion of that commission to allow selling concessions
to
other dealers of approximately $1.00 per $1,000 principal amount
note. The
actual commission received by JPMSI may be more or less than
$9.00 and
will depend on market conditions on the pricing date. In no
event will the
commission received by JPMSI, which includes concessions to
be allowed to
other dealers, exceed $12.50 per $1,000 principal amount note. See
“Underwriting” beginning on page PS-21 of the accompanying product
supplement no. 18-I.
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· |
Product
supplement no. 18-I dated March 16,
2006:
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· |
Prospectus
supplement dated December 1, 2005:
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· |
Prospectus
dated December 1, 2005:
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· |
APPRECIATION
POTENTIAL —
The
notes
provide the opportunity to enhance equity returns by multiplying
a
positive Index Return by two, up to the Maximum Total Return
on the notes
of 15.75%, or $1,157.50 for every $1,000 principal amount note.
The actual
Maximum Total Return on the notes will be set on the pricing
date and will
not be less than 15.75%. Because the notes are our senior unsecured
obligations, payment of any amount at maturity is subject to
our ability
to pay our obligations as they become
due.
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· |
LIMITED
PROTECTION AGAINST LOSS —
Payment
at
maturity of the principal amount of the notes is protected
against a
decline in the Ending Index Level, as compared to the Initial
Index Level,
of up to 10%. If the Ending Index Level declines by more than
10%, for
every 1% decline of the Index beyond 10%, you will lose an
amount equal to
1% of the principal amount of your notes. Accordingly, at maturity
you
will receive a payment equal to at least $100 for each $1,000
principal
amount note.
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· |
DIVERSIFICATION
OF THE S&P 500®
INDEX —
The
return
on the notes is linked to the S&P 500®
Index. The
S&P 500®
Index
consists of 500 component stocks selected to provide a performance
benchmark for the U.S. equity markets. For additional information
about
the Index, see the information set forth under “The S&P
500®
Index” in
the accompanying product supplement no.
18-I.
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· |
CAPITAL
GAINS TAX TREATMENT —
You
should
review carefully the section entitled “Certain U.S. Federal Income Tax
Consequences” in the accompanying product supplement no. 18-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 your
purchase and ownership of the notes as an “open transaction” for U.S.
federal income tax purposes. Assuming this characterization
is respected,
your gain or loss on the notes should be treated as long-term
capital gain
or loss if you hold the notes for more than a year, whether
or not you are
an initial purchaser of notes at the issue price. However,
the Internal
Revenue Service (the “IRS”) or a court may not respect this
characterization or treatment of the notes, 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, such as the notes. The notice
focuses in particular on whether to require holders of these
instruments
to accrue income over the term of their investment. It
also asks
for comments on a number of related topics, including the character
of
income or loss with respect to these instruments; the relevance
of factors
such as the nature of the underlying property to which the
instruments are
linked; the degree, if any, to which income (including any
mandated
accruals) realized by Non-U.S. Holders should be subject to
withholding
tax; and whether these instruments are or should be subject
to the
“constructive ownership” regime, which very generally can operate to
recharacterize certain long-term capital gain as ordinary income
that is
subject to an interest charge. While the notice requests comments
on
appropriate transition rules and effective dates, 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. Both U.S. and
Non-U.S.
Holders should consult their tax advisers regarding the U.S.
federal
income tax consequences of an investment in the notes, including
possible
alternative treatments and the issues presented by this
notice.
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· |
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes
do not guarantee any return of principal in excess of $100
per $1,000
principal amount note. The return on the notes at maturity
is linked to
the performance of the Index and will depend on whether, and
the extent to
which, the Index Return is positive or negative. Your investment
will be
exposed to any decline in the Ending Index Level, as compared
to the
Initial Index Level, beyond the 10% buffer. Accordingly, you
could lose up
to $900 for each $1,000 principal amount note that you invest
in.
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· |
YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL RETURN
—
If
the
Ending Index Level is greater than the Initial Index Level, for
each
$1,000 principal amount note, you will receive at maturity $1,000
plus an
additional amount that will not exceed a predetermined percentage
of the
principal amount, regardless of the appreciation in the Index,
which may
be significant. We refer to this percentage as the Maximum Total
Return,
which will be set on the pricing date and will not be less than
15.75%.
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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 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 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 set forth under
“Many Economic and Market Factors Will Impact the Value of the
Notes”
below.
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· |
NO
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS —
As
a holder
of the notes, you will not receive interest payments, and you
will not
have voting rights or rights to receive cash dividends or other
distributions or other rights that holders of securities composing
the
Index would have.
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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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· |
POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the issuance
of the
notes, including acting as calculation agent and hedging our
obligations
under the notes. 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. In addition, we are
currently
one of the companies that make up the Index. We 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 Index
and the
notes.
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· |
MANY
ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES
—
In
addition
to the level of the Index on any 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, including:
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· |
the
expected
volatility of the Index;
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· |
the
time to
maturity of the notes;
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· |
the
dividend
rate on the common stocks underlying the
Index;
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· |
interest
and
yield rates in the market
generally;
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· |
a
variety of
economic, financial, political, regulatory or judicial events;
and
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· |
our
creditworthiness, including actual or anticipated downgrades
in our credit
ratings.
|
Ending
Index
Level
|
Index
Return
|
Total
Return
|
2430.000
|
80.000%
|
15.750%
|
2227.500
|
65.000%
|
15.750%
|
2025.000
|
50.000%
|
15.750%
|
1890.000
|
40.000%
|
15.750%
|
1755.000
|
30.000%
|
15.750%
|
1620.000
|
20.000%
|
15.750%
|
1552.500
|
15.000%
|
15.750%
|
1485.000
|
10.000%
|
15.750%
|
1456.313
|
7.875%
|
15.750%
|
1417.500
|
5.000%
|
10.000%
|
1383.750
|
2.500%
|
5.000%
|
1363.500
|
1.000%
|
2.000%
|
1350.000
|
0.000%
|
0.000%
|
1282.500
|
-5.000%
|
0.000%
|
1215.000
|
-10.000%
|
0.000%
|
1080.000
|
-20.000%
|
-10.000%
|
945.000
|
-30.000%
|
-20.000%
|
810.000
|
-40.000%
|
-30.000%
|
675.000
|
-50.000%
|
-40.000%
|
540.000
|
-60.000%
|
-50.000%
|
405.000
|
-70.000%
|
-60.000%
|
270.000
|
-80.000%
|
-70.000%
|
135.000
|
-90.000%
|
-80.000%
|
0.000
|
-100.000%
|
-90.000%
|