Amended and restated term sheet
|
Term
Sheet No. 47-A to Product Supplement No. 34-V Registration Statement No. 333-130051 Dated July 10, 2007; Rule 433 |
Structured |
JPMorgan Chase &
Co. |
General
Key Terms
Payment at Maturity: |
The payment at maturity, in excess of any accrued and unpaid interest, is based on the performance of the applicable Reference Stock. You will receive $1,000 for each $1,000 principal amount note, plus any interest accrued and unpaid to the final Interest Payment Date, 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 conditions described in both (1) and (2) are satisfied, at maturity you will receive, in addition to any accrued and unpaid interest, 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. | ||
Maturity Date: | January 31, 2008* | |
Pricing Date: | On or about July 26, 2007 | |
Settlement Date: | On or about July 31, 2007 | |
Observation Date: | January 28, 2008* | |
Interest Payment Date: | 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 August 31, 2007, to and including the Maturity Date. See Selected Purchase Considerations Monthly Interest Payments in this term sheet no. 47-A for more information. | |
Monitoring Period: | The period from the Pricing Date to and including the Observation Date. | |
Physical Delivery Amount: | 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. | |
Cash Value: | 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. | |
Initial Share Price: | 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. 34-V for further information about these adjustments. | |
Final Share Price: | The closing price of the applicable Reference Stock on the Observation Date. |
|
|
|
|
|
|
|
|
|
Approximate Tax Allocation of |
||
|
Page |
Ticker |
Principal |
Interest |
Protection |
Initial |
CUSIP |
Approximate |
Interest on |
Put Premium |
|
JetBlue Airways
|
TS-3 |
JBLU |
|
8.125% |
20% of the Initial
|
|
48123JN62 |
$13.54 |
32.74% |
67.26% |
|
Las Vegas |
TS-5 |
LVS |
|
6.50% |
20% of the Initial |
|
48123JN70 |
$10.83 |
40.92% |
59.08% |
|
Rite Aid Corporation |
TS-7 |
RAD |
|
5.75% |
25% of the Initial |
|
48123JN88 |
$9.58 |
46.26% |
53.74% |
|
Silver Wheaton Corp. |
TS-9 |
SLW |
|
7.50% |
20% of the Initial
|
|
48123JP29 |
$12.50 |
35.47% |
64.53% |
|
* | 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. 34-V. |
| This term sheet no. 47-A amends and restates and supersedes term sheet no. 47 to product supplement no. 34-V (term sheet no. 47 is available on the SEC website at http://www.sec.gov/Archives/edgar/data/19617/000089109207002780/e27820fwp.pdf) in its entirety. |
| 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. 34-V under Certain U.S. Federal Income Tax Consequences on page PS-24. The allocations presented herein were determined as of July 6, 2007; the actual allocations will be determined as of the Pricing Date and may differ. |
Investing in the Reverse Exchangeable Notes involves a number of risks. See Risk Factors beginning on page PS-6 of the accompanying product supplement no. 34-V and Selected Risk Considerations beginning on page TS-2 of this term sheet no. 47-A.
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 no. 47-A relates. Before you invest, you should read the prospectus in that registration statement, each prospectus supplement, product supplement no. 34-V and any 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. 34-V and this term sheet no. 47-A 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 SEC nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet no. 47-A or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.
|
|||
|
Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
|
|||
Per note |
$ |
$ |
$ |
|
|||
Total |
$ |
$ |
$ |
|
(1) |
In no event will the fees and commissions received by J.P. Morgan Securities Inc., whom we refer to as JPMSI, which includes 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 and commissions and concessions, please see Supplemental Underwriting Information on the last page of this term sheet no. 47-A. |
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
July 10, 2007
ADDITIONAL TERMS SPECIFIC TO EACH NOTE OFFERING
This term sheet no. 47-A relates to four (4) separate note offerings. Each issue of offered notes is linked to one, and only one, Reference Stock. The purchaser of a note will acquire a security linked to a single Reference Stock (not to a basket or index that includes another Reference Stock). You may participate in any of the four (4) note offerings or, at your election, in two or more of the offerings. We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part. While each note offering relates only to a single Reference Stock identified on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that Reference Stock (or any other Reference Stock) or as to the suitability of an investment in the notes.
You should read this term sheet no. 47-A 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. 34-V dated February 7, 2007. This term sheet no. 47-A, 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. This term sheet no. 47-A amends and restates and supersedes term sheet no. 47 dated July 9, 2007 to product supplement no. 34-V in its entirety. You should rely only on the information contained in this term sheet no. 1-A and in the documents listed below in making your decision to invest in the notes. You should carefully consider, among other things, the matters set forth in Risk Factors in the accompanying product supplement no. 34-V, 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 Web site is 19617. As used in this term sheet no. 47-A, the Company, we, us or our refers to JPMorgan Chase & Co.
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-1 |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in any of the Reference Stocks. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 34-V dated February 7, 2007.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-2 |
The Reference Stocks
Public Information
All information contained herein on the Reference Stocks and on the Reference Stock issuers is derived from publicly available sources and is provided for informational purposes only. Companies with securities registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, are required to periodically file certain financial and other information specified by the SEC. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to the SEC file number provided below and can be accessed through www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete. See The Reference Stock beginning on page PS-13 of the accompanying product supplement no. 34-V for more information.
JetBlue Airways Corporation (JetBlue)
According to its publicly available filings with the SEC, JetBlue is a low-cost passenger airline that provides high quality customer service at low fares primarily on point-to-point routes. JetBlue focuses on serving markets that have had high average fares. The common stock of JetBlue, par value $.01 per share, is listed on The NASDAQ Stock Market, which we refer to as the Relevant Exchange for purposes of JetBlue in the accompanying product supplement no. 34-V. JetBlues SEC file number is 000-49728.
Historical Information of the Common Stock of JetBlue
The following graph sets forth the historical performance of the common stock of JetBlue based on the weekly closing price (in U.S. dollars) of the common stock of JetBlue from January 4, 2002 through July 6, 2007. The closing price of the common stock of JetBlue on July 6, 2007 was $11.92. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of JetBlue has experienced significant fluctuations. The historical performance of the common stock of JetBlue should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of JetBlue during the term of the notes. We cannot give you assurance that the performance of the common stock of JetBlue will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that JetBlue will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of JetBlue.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-3 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of JetBlue
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of JetBlue, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the column titled Hypothetical lowest closing price during the Monitoring Period. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: | $12.00 | the Protection Amount: $2.40 | ||
the Interest Rate: | 8.125% (equivalent to 16.25% per annum) |
|
|||
Hypothetical lowest |
Hypothetical |
Payment at Maturity |
Total Value of |
|
|||
$12.00 |
$30.00 |
$1,000.00 |
$1,000.00 |
|
|||
$6.00 |
$13.00 |
$1,000.00 |
$1,000.00 |
|
|||
$12.00 |
$12.00 |
$1,000.00 |
$1,000.00 |
|
|||
$9.60 |
$9.60 |
$1,000.00 |
$1,000.00 |
|
|||
$6.00 |
$11.00 |
83 shares of the Reference Stock or
the |
$916.67 |
|
|||
$6.00 |
$6.00 |
83 shares of the Reference Stock or
the |
$500.00 |
|
|||
$2.00 |
$2.00 |
83 shares of the Reference Stock or
the |
$166.67 |
|
|||
$0.00 |
$0.00 |
83 shares of the Reference Stock or
the |
$0.00 |
|
** | Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, 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 following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $6.00 but the Final Share Price is $13.00. Because the Final Share Price of $13.00 is greater than the Initial Share Price of $12.00, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $6.00 and the Final Share Price is $11.00. Because the Final Share Price of $11.00 is less than the Initial Share Price of $12.00 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount of shares of the Reference Stock, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $11.00, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $916.67.
Example 3: The closing price of the Reference Stock between the Pricing Date and before the Observation Date does not reflect a decline of more than the Protection Amount. However, the closing price of the Reference Stock on the Observation Date is $6.00, a decline of more than the Protection Amount. Because the Final Share Price of $6.00 is less than the Initial Share Price of $12.00 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $6.00, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.
Example 4: The Final Share Price of $9.60 is less than the Initial Share Price of $12.00 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $9.60 is less than the Initial Share Price of $12.00.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of approximately $81.25 over the term of the notes. If we had priced the notes on July 6, 2007, you would have received 83 shares of the Reference Stock, or at our election, the Cash Value thereof, at maturity, provided the Final Share Price declined from the Initial Share Price and the closing price of the Reference Stock declined by more than the Protection Amount from the Initial Share Price on at least one day during the Monitoring Period. The actual number of shares of the Reference Stock, or the Cash Value thereof, you receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the closing price of the Reference Stock on the Pricing Date.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-4 |
Las Vegas Sands Corp. (Las Vegas Sands)
According to its publicly available filings with the SEC, Las Vegas Sands owns and operates The Venetian Resort Hotel Casino in Las Vegas and The Sands Macao Casino in Macao, China, and is currently in the process of developing additional integrated resorts and properties in Las Vegas and Macao. The common stock of Las Vegas Sands, par value $.001 per share, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Las Vegas Sands in the accompanying product supplement no. 34-V. Las Vegas Sands SEC file number is 001-32373.
Historical Information of the Common Stock of Las Vegas Sands
The following graph sets forth the historical performance of the common stock of Las Vegas Sands based on the weekly closing price (in U.S. dollars) of the common stock of Las Vegas Sands from December 17, 2004 through July 6, 2007. The common stock of Las Vegas Sands commenced trading on the New York Stock Exchange on December 14, 2004. The closing price of the common stock of Las Vegas Sands on July 6, 2007 was $80.50. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of Las Vegas Sands has experienced significant fluctuations. The historical performance of the common stock of Las Vegas Sands should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of Las Vegas Sands during the term of the notes. We cannot give you assurance that the performance of the common stock of Las Vegas Sands will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Las Vegas Sands will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Las Vegas Sands.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-5 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of Las Vegas Sands
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Las Vegas Sands, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the column titled Hypothetical lowest closing price during the Monitoring Period. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: | $80.00 | the Protection Amount: $16.00 | ||
the Interest Rate: | 6.50% (equivalent to 13.00% per annum) |
|
|||
Hypothetical lowest |
Hypothetical |
Payment at Maturity |
Total Value of |
|
|||
$80.00 |
$120.00 |
$1,000.00 |
$1,000.00 |
|
|||
$40.00 |
$81.00 |
$1,000.00 |
$1,000.00 |
|
|||
$80.00 |
$80.00 |
$1,000.00 |
$1,000.00 |
|
|||
$64.00 |
$64.00 |
$1,000.00 |
$1,000.00 |
|
|||
$40.00 |
$79.00 |
12 shares of the Reference Stock or
the |
$987.50 |
|
|||
$40.00 |
$40.00 |
12 shares of the Reference Stock or
the |
$500.00 |
|
|||
$10.00 |
$10.00 |
12 shares of the Reference Stock or
the |
$125.00 |
|
|||
$0.00 |
$0.00 |
12 shares of the Reference Stock or
the |
$0.00 |
|
** | Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, 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 following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $40.00 but the Final Share Price is $81.00. Because the Final Share Price of $81.00 is greater than the Initial Share Price of $80.00, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $40.00 and the Final Share Price is $79.00. Because the Final Share Price of $79.00 is less than the Initial Share Price of $80.00 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount of shares of the Reference Stock, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $79.00, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $987.50.
Example 3: The closing price of the Reference Stock between the Pricing Date and before the Observation Date does not reflect a decline of more than the Protection Amount. However, the closing price of the Reference Stock on the Observation Date is $40.00, a decline of more than the Protection Amount. Because the Final Share Price of $40.00 is less than the Initial Share Price of $80.00 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $40.00, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.
Example 4: The Final Share Price of $64.00 is less than the Initial Share Price of $80.00 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $64.00 is less than the Initial Share Price of $80.00.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of approximately $65.00 over the term of the notes. If we had priced the notes on July 6, 2007, you would have received 12 shares of the Reference Stock or, at our election, the Cash Value thereof, at maturity, provided the Final Share Price declined from the Initial Share Price and the closing price of the Reference Stock declined by more than the Protection Amount from the Initial Share Price on at least one day during the Monitoring Period. The actual number of shares of the Reference Stock, or the Cash Value thereof, you receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the closing price of the Reference Stock on the Pricing Date.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-6 |
Rite Aid Corporation (Rite Aid)
According to its publicly available filings with the SEC, Rite Aid operates a retail drugstore chain in the United States. In its stores, Rite Aid sells prescription drugs and a wide assortment of other merchandise. The common stock of Rite Aid, par value $1.00 per share, is listed on The NASDAQ Stock Market, which we refer to as the Relevant Exchange for purposes of Rite Aid in the accompanying product supplement no. 34-V. Rite Aids SEC file number is 001-05742.
Historical Information of the Common Stock of Rite Aid
The following graph sets forth the historical performance of the common stock of Rite Aid based on the weekly closing price (in U.S. dollars) of the common stock of Rite Aid from January 4, 2002 through July 6, 2007. The closing price of the common stock of Rite Aid on July 6, 2007 was $6.37. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of Rite Aid has experienced significant fluctuations. The historical performance of the common stock of Rite Aid should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of Rite Aid during the term of the notes. We cannot give you assurance that the performance of the common stock of Rite Aid will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Rite Aid will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Rite Aid.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-7 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of Rite Aid
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Rite Aid, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the column titled Hypothetical lowest closing price during the Monitoring Period. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: | $6.40 | the Protection Amount: $1.60 | ||
the Interest Rate: | 5.75% (equivalent to 11.50% per annum) |
|
|||
Hypothetical lowest |
Hypothetical |
Payment at Maturity |
Total Value of |
|
|||
$6.40 |
$20.00 |
$1,000.00 |
$1,000.00 |
|
|||
$3.20 |
$7.00 |
$1,000.00 |
$1,000.00 |
|
|||
$6.40 |
$6.40 |
$1,000.00 |
$1,000.00 |
|
|||
$4.80 |
$4.80 |
$1,000.00 |
$1,000.00 |
|
|||
$3.20 |
$6.00 |
156 shares of the Reference Stock
or the |
$937.50 |
|
|||
$3.20 |
$3.20 |
156 shares of the Reference Stock
or the |
$500.00 |
|
|||
$1.00 |
$1.00 |
156 shares of the Reference Stock
or the |
$156.25 |
|
|||
$0.00 |
$0.00 |
156 shares of the Reference Stock or the |
$0.00 |
|
** | Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, 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 following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $3.20 but the Final Share Price is $7.00. Because the Final Share Price of $7.00 is greater than the Initial Share Price of $6.40, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $3.20 and the Final Share Price is $6.00. Because the Final Share Price of $6.00 is less than the Initial Share Price of $6.40 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount of shares of the Reference Stock, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $6.00, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $937.50.
Example 3: The closing price of the Reference Stock between the Pricing Date and before the Observation Date does not reflect a decline of more than the Protection Amount. However, the closing price of the Reference Stock on the Observation Date is $3.20, a decline of more than the Protection Amount. Because the Final Share Price of $3.20 is less than the Initial Share Price of $6.40 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $3.20, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.
Example 4: The Final Share Price of $4.80 is less than the Initial Share Price of $6.40 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $4.80 is less than the Initial Share Price of $6.40.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of approximately $57.50 at maturity. If we had priced the notes on July 6, 2007, you would have received 156 shares of the Reference Stock or, at our election, the Cash Value thereof, at maturity, provided the Final Share Price declined from the Initial Share Price and the closing price of the Reference Stock declined by more than the Protection Amount from the Initial Share Price on at least one day during the Monitoring Period. The actual number of shares of the Reference Stock, or the Cash Value thereof, you receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the closing price of the Reference Stock on the Pricing Date.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-8 |
Silver Wheaton Corp. (Silver Wheaton)
According to its publicly available filings with the SEC, Silver Wheaton is a Canadian company with 100% of its operating revenue from the sale of silver. Silver Wheatons principal product is silver from Mexican, Swedish and Peruvian mines that it has agreed to purchase pursuant to existing contracts, which are resold into the worldwide silver market. The common stock of Silver Wheaton, no par value, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Silver Wheaton in the accompanying product supplement no. 34-V. Silver Wheatons SEC file number is 001-32482.
Historical Information of the Common Stock of Silver Wheaton
The following graph sets forth the historical performance of the common stock of Silver Wheaton based on the weekly closing price (in U.S. dollars) of the common stock of Silver Wheaton from July 8, 2005 through July 6, 2007. From July 6, 2005 through May 8, 2006, the common stock of Silver Wheaton was traded on the American Stock Exchange. Since May 9, 2006, the common stock of Silver Wheaton has been trading on the New York Stock Exchange. The closing price of the common stock of Silver Wheaton on July 6, 2007 was $13.17. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of Silver Wheaton has experienced significant fluctuations. The historical performance of the common stock of Silver Wheaton should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of Silver Wheaton during the term of the notes. We cannot give you assurance that the performance of the common stock of Silver Wheaton will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Silver Wheaton will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Silver Wheaton.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-9 |
Examples of Hypothetical Payment at Maturity for a
$1,000 Investment in the Notes Linked to the Common Stock of Silver Wheaton
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Silver Wheaton, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the column titled Hypothetical lowest closing price during the Monitoring Period. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: | $13.20 | the Protection Amount: $2.64 | ||
the Interest Rate: | 7.50% (equivalent to 15.00% per annum) |
|
|||
Hypothetical lowest |
Hypothetical |
Payment at Maturity |
Total Value of |
|
|||
$13.20 |
$40.00 |
$1,000.00 |
$1,000.00 |
|
|||
$6.60 |
$14.00 |
$1,000.00 |
$1,000.00 |
|
|||
$13.20 |
$13.20 |
$1,000.00 |
$1,000.00 |
|
|||
$10.56 |
$10.56 |
$1,000.00 |
$1,000.00 |
|
|||
$6.60 |
$13.00 |
75 shares of the Reference Stock or
the |
$984.85 |
|
|||
$6.60 |
$6.60 |
75 shares of the Reference Stock or
the |
$500.00 |
|
|||
$2.00 |
$2.00 |
75 shares of the Reference Stock or
the |
$151.52 |
|
|||
$0.00 |
$0.00 |
75 shares of the Reference Stock or
the |
$0.00 |
|
** | Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, 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 following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $6.60 but the Final Share Price is $14.00. Because the Final Share Price of $14.00 is greater than the Initial Share Price of $13.20, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $6.60 and the Final Share Price is $13.00. Because the Final Share Price of $13.00 is less than the Initial Share Price of $13.20 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount of shares of the Reference Stock, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $13.00, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $984.85.
Example 3: The closing price of the Reference Stock between the Pricing Date and before the Observation Date does not reflect a decline of more than the Protection Amount. However, the closing price of the Reference Stock on the Observation Date is $6.60, a decline of more than the Protection Amount. Because the Final Share Price of $6.60 is less than the Initial Share Price of $13.20 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $6.60, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.
Example 4: The Final Share Price of $10.56 is less than the Initial Share Price of $13.20 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $10.56 is less than the Initial Share Price of $13.20.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of approximately $75.00 over the term of the notes. If we had priced the notes on July 6, 2007, you would have received 75 shares of the Reference Stock or, at our election, the Cash Value thereof, at maturity, provided the Final Share Price declined from the Initial Share Price and the closing price of the Reference Stock declined by more than the Protection Amount from the Initial Share Price on at least one day during the Monitoring Period. The actual number of shares of the Reference Stock, or the Cash Value thereof, you receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the closing price of the Reference Stock on the Pricing Date.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-10 |
Supplemental Underwriting Information
If the notes linked to the common stock of JetBlue priced on July 9, 2007, JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $33.50 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $24.30 per $1,000 principal amount note. The concessions of $24.30 include concessions to be allowed to selling dealers and concessions to be allowed to an arranging dealer. The actual commission received by JPMSI may be more or less than $33.50 and will depend on market conditions on the Pricing Date. In no event will the commission received by JPMSI exceed $60.00 per $1,000 principal amount note.
If the notes linked to the common stock of Las Vegas Sands priced on July 9, 2007, JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $33.50 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $24.30 per $1,000 principal amount note. The concessions of $24.30 include concessions to be allowed to selling dealers and concessions to be allowed to an arranging dealer. The actual commission received by JPMSI may be more or less than $33.50 and will depend on market conditions on the Pricing Date. In no event will the commission received by JPMSI exceed $60.00 per $1,000 principal amount note.
If the notes linked to the common stock of Rite Aid priced on July 9, 2007, JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $34.00 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $24.50 per $1,000 principal amount note. The concessions of $24.50 include concessions to be allowed to selling dealers and concessions to be allowed to an arranging dealer. The actual commission received by JPMSI may be more or less than $34.00 and will depend on market conditions on the Pricing Date. In no event will the commission received by JPMSI exceed $60.00 per $1,000 principal amount note.
If the notes linked to the common stock of Silver Wheaton priced on July 9, 2007, JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $36.00 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $25.50 per $1,000 principal amount note. The concessions of $25.50 include concessions to be allowed to selling dealers and concessions to be allowed to an arranging dealer. The actual commission received by JPMSI may be more or less than $36.00 and will depend on market conditions on the Pricing Date. In no event will the commission received by JPMSI exceed $60.00 per $1,000 principal amount note.
See Underwriting beginning on page PS-29 of the accompanying product supplement no. 34-V.
|
|
JPMorgan
Structured Investments
Reverse Exchangeable Notes Each Linked to the Common Stock of a Different Single Reference Stock Issuer |
TS-11 |