Amended
and
restated term sheet†
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 123-II dated March 11, 2008
|
Amended
and Restated term sheet to
Product
Supplement No. 123-II
Registration
Statement No. 333-130051
Dated
April 11, 2008; Rule 433
|
JPMorgan
Chase
& Co.
$
Return
Notes Linked to the JPMorgan Commodity Investable Global
Asset Rotator Conditional Long-Short II Index due April 26,
2010
|
· |
The
notes are
designed for investors who seek to participate in the appreciation
of the
JPMorgan Commodity Investable Global Asset Rotator Conditional Long-Short
II Index as described below. Investors should be willing to forgo
interest
payments and, if the Ending Underlying Value declines from the Initial
Underlying Value by more than 4.0%*,
be willing
to lose up to 96.0% of their
principal.
|
· |
Senior
unsecured obligations of JPMorgan Chase & Co. maturing April 26,
2010††.
|
· |
Minimum
denominations of $20,000 and integral multiples of $1,000 in excess
thereof.
|
· |
The
notes are
expected to price on or about April 21, 2008†††
and are
expected to settle on or about April 25,
2008.
|
Underlying:
|
JPMorgan
Commodity Investable Global Asset Rotator Conditional Long-Short
II Index
(the “Commodity-IGAR Conditional Long-Short II” or the
“Underlying”).
|
Payment
at
Maturity:
|
Payment
at
maturity will reflect the performance of the Underlying plus the
Additional Amount. The
principal amount of your notes will be fully exposed to any decline
in the
Ending Underlying Value, as compared to the Initial Underlying Value,
provided that your final payment at maturity will not be less than
zero
and except that in all cases you will receive the Additional Amount
at
maturity. Accordingly,
at maturity, you will receive an amount per $1,000 principal amount
note
calculated as follows:
|
$1,000
x (1 +
Underlying Return) + Additional Amount
provided
that your
final payment at maturity will not be less than the Additional
Amount.
|
|
You
may lose some or all of your investment (other than the Additional
Amount)
if the Ending Underlying Value declines from the Initial Underlying
Value.
|
|
Additional
Amount
|
At
least $40*.
*
The actual Additional Amount will be set on the pricing date and
will not
be less than $40.
|
Underlying
Return:
|
Ending
Underlying Value - Initial Underlying Value
|
Initial
Underlying Value
|
|
Initial
Underlying Value:
|
The
arithmetic average of the Underlying closing values on each of the
five
Initial Averaging Dates. All of the five Initial Averaging Dates
will
occur after the pricing date; as a result, the
Initial Underlying Value will not be determined until after the pricing
date.
|
Ending
Underlying Value:
|
The
arithmetic average of the Underlying closing value on each of the
five
Ending Averaging Dates.
|
Initial
Averaging Dates††:
|
April
24,
2008, May 1, 2008, Mary 8, 2008, May 15, 2008 and May 22,
2008.
|
Ending
Averaging Dates††:
|
April
6,
2010, April 7, 2010, April 8, 2010, April 9, 2010 and April 12,
2010
|
Maturity
Date:
|
April
26,
2010††
|
CUSIP:
|
48123MP22
|
†
|
This
amended and restated term sheet amends and restates and supersedes
the
term sheet related hereto dated April 7, 2008 to product supplement
no.
123-II ( the term sheet is available on the SEC website at http://www.sec.gov/Archives/edgar/data/19617/000114420408020955/v109933_fwp.pdf)
in
its entirety.
|
††
|
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.
123-II.
|
†††
|
The
pricing of the notes is subject to our special tax counsel delivering
to
us their opinion as described under “Selected Purchase Considerations —
Capital Gains Tax Treatment.”
|
Price
to Public
|
Fees
and Commissions (1)
|
Proceeds
to Us
|
|
Per
note
|
$
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) |
Please
see
"Supplemental Underwriting Information" in this amended and restated
term
sheet for information about fees and
commissions.
|
·
|
Product
supplement no. 123-II dated March 11, 2008:
|
·
|
Prospectus
supplement dated October 12, 2006:
|
·
|
Prospectus
dated December 1, 2005:
|
Ending
Underlying Value
|
Underlying
Return
|
$1,000
x
(1
+
Underlying Return)
|
|
Additional
Amount
|
|
Payment
at Maturity
|
261.00
|
80.00%
|
$1,800
|
+
|
$40
|
=
|
$1,840
|
246.50
|
70.00%
|
$1,700
|
+
|
$40
|
=
|
$1,740
|
232.00
|
60.00%
|
$1,600
|
+
|
$40
|
=
|
$1,640
|
217.50
|
50.00%
|
$1,500
|
+
|
$40
|
=
|
$1,540
|
203.00
|
40.00%
|
$1,400
|
+
|
$40
|
=
|
$1,440
|
188.50
|
30.00%
|
$1,300
|
+
|
$40
|
=
|
$1,340
|
174.00
|
20.00%
|
$1,200
|
+
|
$40
|
=
|
$1,240
|
159.50
|
10.00%
|
$1,100
|
+
|
$40
|
=
|
$1,140
|
152.25
|
5.00%
|
$1,050
|
+
|
$40
|
=
|
$1,090
|
145.00
|
0.00%
|
$1,000
|
+
|
$40
|
=
|
$1,040
|
130.50
|
-10.00%
|
$900
|
+
|
$40
|
=
|
$940
|
116.00
|
-20.00%
|
$800
|
+
|
$40
|
=
|
$840
|
101.50
|
-30.00%
|
$700
|
+
|
$40
|
=
|
$740
|
87.00
|
-40.00%
|
$600
|
+
|
$40
|
=
|
$640
|
72.50
|
-50.00%
|
$500
|
+
|
$40
|
=
|
$540
|
58.00
|
-60.00%
|
$400
|
+
|
$40
|
=
|
$440
|
43.50
|
-70.00%
|
$300
|
+
|
$40
|
=
|
$340
|
29.00
|
-80.00%
|
$200
|
+
|
$40
|
=
|
$240
|
14.50
|
-90.00%
|
$100
|
+
|
$40
|
=
|
$140
|
0.00
|
-100.00%
|
$0
|
+
|
$40
|
=
|
$40
|
JPMorgan
Structured Investments —
Return Notes Linked to the JPMorgan Commodity Investable Global Asset Rotator Conditional Long-Short II Index |
·
|
INVESTMENT
EXPOSURE TO THE COMMODITY-IGAR CONDITIONAL LONG-SHORT II
—
The
notes
provide the opportunity to participate in the appreciation of the
Commodity-IGAR Long-Short II and enhance returns by providing an
additional payment of at least $40* at maturity. 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.
*
The actual Additional Amount will be set on the pricing date and
will not
be less than $40.
|
·
|
RETURN
LINKED TO DYNAMIC BASKET OF SUB-INDICES REPRESENTING SUB-ASSET CLASSES
OF
THE GLOBAL COMMODITY MARKET —
The
return
on the notes is linked to the performance of the JPMorgan Commodity
Investable Global Asset Rotator Conditional Long-Short II Index.
The
Commodity-IGAR Conditional Long-Short II references the value of
a
synthetic portfolio drawn from the constituent sub-indices of the
S&P
GSCITM
using an
investment strategy that is generally known as momentum investing.
The
rebalancing method therefore seeks to capitalize on positive or negative
trends in the U.S. dollar level of the constituents on the assumption
that
if certain constituents performed well in the past, they will continue
to
perform well in the future. See “The JPMorgan Commodity Investable Global
Asset Rotator Conditional Long-Short II Index” in the accompanying product
supplement no. 123-II.
|
·
|
CAPITAL
GAINS TAX TREATMENT — You
should review carefully the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 123-II. The
pricing of the notes is subject to delivery of an opinion of our
special
tax counsel, Davis Polk & Wardwell, that it is reasonable to treat
your purchase and ownership of the notes as an “open transaction” for U.S.
federal income tax purposes. The opinion will be subject to the
limitations described in the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 123-II and
will be based on certain factual representations to be received from
us on
or prior to the pricing date. 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
|
·
|
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes
do not guarantee any return of principal (other than the Additional
Amount). The return on the notes is linked to the performance of
the
Underlying, and will depend on whether, and the extent to which,
the
Underlying Return is positive or negative. Your investment will be
fully
exposed to any decline in the Ending Underlying Value, as compared
to the
Initial Underlying Value, provided that the final payment at maturity
will
not be less than zero, although in all cases you will receive the
Additional Amount at maturity.
|
·
|
NO
PROTECTION AGAINST LOSS —
If
the
Underlying Return is negative, at maturity, you will receive less
than the
principal amount of your investment. For each 1% that the Ending
Underlying Value declines relative to the Initial Underlying Value,
you
will lose 1% of your investment in the notes, although in all cases
you
will receive the Additional Amount at
maturity.
|
·
|
THE
INITIAL UNDERLYING VALUE WILL BE DETERMINED AFTER THE PRICING DATE
OF THE
NOTES —
The
Initial Underlying Value will be determined based on the arithmetic
average of the Underlying closing values on the five Initial Averaging
Dates. However, all of the five Initial Averaging Dates will occur
following the pricing date of the notes; as a result, the Initial
Underlying Value will not be determined, and you will therefore not
know
the Initial Underlying Value, until after the pricing date. Any increase
in the Underlying closing values on the Initial Averaging Dates (relative
to the Underlying closing values before the pricing date) may establish
a
higher level that the Commodity-IGAR Conditional Long-Short II must
achieve for you to obtain a positive return on your investment or
avoid a
loss of principal at maturity.
|
JPMorgan
Structured Investments —
Return Notes Linked to the JPMorgan Commodity Investable Global Asset Rotator Conditional Long-Short II Index |
· | INVESTMENTS RELATED TO THE VALUE OF COMMODITIES TEND TO BE MORE VOLATILE THAN TRADITIONAL SECURITIES INVESTMENTS — The market values of commodities tend to be highly volatile. Commodity market values are not related to the value of a future income or earnings stream, as tends to be the case with fixed-income and equity investments, but are subject to variables of specific application to commodities markets. These variables include changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. These factors may have a larger impact on commodity prices and commodity-linked instruments than on traditional fixed-income and equity securities. These variables may create additional investment risks that cause the value of the notes to be more volatile than the values of traditional securities. These and other factors may affect the levels of the sub-indices included from time to time in Commodity-IGAR Conditional Long-Short II, and thus the value of your notes, in unpredictable or unanticipated ways. The Commodity-IGAR Conditional Long-Short II provides one avenue for exposure to commodities. The high volatility and cyclical nature of commodity markets may render these investments inappropriate as the focus of an investment portfolio. |
·
|
OWNING
THE NOTES INVOLVES THE RISKS ASSOCIATED WITH COMMODITY-IGAR CONDITIONAL
LONG-SHORT II’S MOMENTUM INVESTMENT STRATEGY —
The
Commodity-IGAR Conditional Long-Short II employs a mathematical model
intended to implement what is generally known as a momentum investment
strategy, which seeks to capitalize on consistent positive and negative
market price trends based on the supposition that consistent positive
and
negative market price trends may continue. This strategy is different
from
a strategy that seeks long-term exposure to a portfolio consisting
of
constant components. The Commodity-IGAR Conditional Long-Short II
strategy
may fail to realize gains that could occur as a result of holding
a
commodity that has experienced price declines, but after which experiences
a sudden price spike, or has experienced price increases, but after
which
experiences a sudden price decline. Further, the rules of the
Commodity-IGAR Conditional Long-Short II limit exposure to rapidly
appreciating or depreciating sub-indices. This is because the
Commodity-IGAR Conditional Long-Short II rebalances its exposure
to
sub-indices each month so that the exposure to any one sub-index
does not
exceed one-twelfth of the total long or short synthetic portfolio
as of
the time of a monthly rebalancing. By contrast, a synthetic portfolio
that
does not rebalance monthly in this manner could see greater compounded
gains over time through exposure to a consistently and rapidly
appreciating or depreciating sub-index. Because the rules of the
Commodity-IGAR Conditional Long-Short II limit the synthetic portfolio
to
holding only to sub-indices that have shown consistent positive or
negative price appreciation, the synthetic portfolio may experience
periods where it holds few or no sub-indices, and therefore is unlikely
during such periods to achieve returns that exceed the returns realized
by
other investment strategies, or be able to capture gains from other
appreciating or depreciating assets in the market that are not included
in
the universe of constituent
sub-indices.
|
·
|
OWNING
THE NOTES IS NOT THE SAME AS OWNING THE CONSTITUENT SUB-INDICES OR
COMMODITIES CONTRACTS —
The
return
on your notes will not reflect the return you would realize if you
actually held or sold short the commodity contracts replicating the
constituent sub-indices of the Commodity-IGAR Conditional Long-Short
II.
The Commodity-IGAR Long-Short II synthetic portfolio is a hypothetical
construct that does not hold any underlying assets of any kind. As
a
result, a holder of the notes will not have any direct or indirect
rights
to any commodity contracts or interests in the constituent sub-indices.
Furthermore, the Commodity-IGAR Conditional Long-Short II synthetic
portfolio is subject to monthly rebalancing and the assessment of
a
monthly index calculation fee that will reduce its value relative
to the
value of the constituent
sub-indices.
|
·
|
THE
NOTES MAY BE SUBJECT TO INCREASED VOLATILITY DUE TO THE USE OF LEVERAGE
—
The
Commodity-IGAR Conditional Long-Short II employs a technique generally
known as “long-short” strategy. As part of this strategy, if the short leg
of the Commodity-IGAR Conditional Long-Short II is not de-activated,
the
sum of the absolute values of the conditional long-short target weights
may be greater than 1 and, consequently, the Commodity-IGAR Conditional
Long-Short II may include leverage. Where the synthetic portfolio
is
leveraged, any price movements in the commodity contracts replicating
the
constituent sub-indices may result in greater changes in the value
of the
Commodity-IGAR Conditional Long-Short II than if leverage was not
used,
which in turn could cause you to receive a lower payment at maturity
than
you would otherwise receive.
|
·
|
BECAUSE
THE COMMODITY-IGAR CONDITIONAL LONG-SHORT II INDEX MAY INCLUDE NOTIONAL
SHORT POSITIONS, THE COMMODITY-IGAR CONDITIONAL LONG-SHORT II INDEX
MAY BE
SUBJECT TO ADDITIONAL RISKS —
The
Commodity-IGAR Conditional Long-Short II Index employs a technique
generally known as “long-short” strategy. This means the Commodity-IGAR
Conditional Long-Short II Index could include a number of notional
long
positions and a number of notional short positions. Unlike long positions,
short positions are subject to unlimited risk of loss because there
is no
limit on the amount by which the price that the relevant asset may
appreciate before the short position is closed. Although the minimum
payment at maturity is $40, it is possible that any notional short
position included in the Commodity-IGAR Conditional Long-Short II
may
appreciate substantially with an adverse impact on the Commodity-IGAR
Conditional Long-Short II value and your
notes.
|
·
|
COMMODITY-IGAR
CONDITIONAL LONG-SHORT II INDEX LACKS AN OPERATING HISTORY
—
The
Commodity-IGAR Conditional Long-Short II was established on March
7, 2008,
and therefore lacks historical performance. The Commodity-IGAR Conditional
Long-Short II was created to make certain adjustments to the original
Commodity-IGAR Conditional Long-Short Index (which was established
on
September 15, 2006), including but not limited to amending the date
on
which rebalancing occurs. Back-testing or similar analysis in respect
of
the Commodity-IGAR Conditional Long-Short II must be considered
illustrative only and may be based on estimates or assumptions not
used by
the calculation agent when determining the Commodity-IGAR Conditional
Long-Short II values.
|
· | NO INTEREST PAYMENTS — As a holder of the notes, you will not receive any interest payments. |
·
|
LACK
OF LIQUIDITY —
The
notes
will not be listed on any securities exchange. J.P. Morgan Securities
Inc., which we refer to as 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.
|
·
|
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 amended and restated 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, 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. The notes are not
designed
to be short-term trading instruments. Accordingly, you should be
able and
willing to hold your notes to
maturity.
|
·
|
POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the issuance
of the
notes, including acting as COMIGAR Calculation Agent - the entity
that
calculates Commodity-IGAR Conditional Long-Short II values, and acting
as
calculation agent and hedging our obligations under the notes. In
performing these duties, the economic interests of the COMIGAR Calculation
Agent, the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the
notes.
|
|
JPMorgan
Structured Investments —
Return Notes Linked to the JPMorgan Commodity Investable Global Asset Rotator Conditional Long-Short II Index |
·
|
MANY
ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES
—
In
addition
to the Underlying closing value 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:
|
· |
the
volatility in the Underlying and the constituent
sub-indices;
|
· |
the
time to
maturity of such notes;
|
· |
the
market
price of the physical commodities upon which the futures contracts
that
compose the constituent sub-indices are
based;
|
· |
interest
and
yield rates in the market
generally;
|
· |
economic,
financial, political, regulatory, geographical, agricultural,
meteorological or judicial events that affect the commodities underlying
the constituent sub-indices or markets generally and which may affect
the
value of the commodity futures contracts, and thus the closing levels
of
the constituent sub-indices; and
|
· |
our
creditworthiness, including actual or anticipated downgrades in our
credit
ratings.
|
·
|
THE
OFFERING OF THE NOTES MAY BE TERMINATED BEFORE PRICING
—
This amended and restated term sheet has not been reviewed by our
special
tax counsel, Davis Polk & Wardwell, and the pricing of the offering of
the notes is subject to delivery by them of an opinion regarding
the tax
treatment of the notes as described under “Selected Purchase
Considerations — Capital Gains Tax Treatment” above. If our special tax
counsel does not deliver this opinion prior to pricing, the offering
of
the notes will be terminated.
|
JPMorgan
Structured Investments —
Return Notes Linked to the JPMorgan Commodity Investable Global Asset Rotator Conditional Long-Short II Index |