Term Sheet
|
Term Sheet No. 1 to
Product Supplement No. 105-I Registration Statement No. 333-130051 Dated November 7, 2007; Rule 433 |
Structured |
JPMorgan
Chase & Co. |
General
Key Terms
Basket: |
The notes are linked to an equally weighted basket consisting of the S&P 500® Index, the Nikkei 225 Index and Dow Jones EURO STOXX 50® Index (each a Basket Index, and together, the Basket Indices). |
|
Index Weightings: |
The S&P 500 Weighting, the Nikkei Weighting and the EURO STOXX Weighting (each an Index Weighting, and collectively, the Index Weightings) are each set to equal 1/3 of the value of the Basket, or approximately 33.3333%. |
|
Interest Rate: |
4.75% per annum, unless a Knock-Out Event has occurred during a Monitoring Period. Upon the occurrence of the first Knock-Out Event during the term of the notes, no interest will be paid for the corresponding Interest Period or any subsequent Interest Period. |
|
Knock-Out Event: |
A Knock-Out Event occurs if, on any trading day during a Monitoring Period, the Index closing level for any Basket Index has decreased, as compared to the Index starting level for such Basket Index, by more than the Knock-Out Buffer Amount. |
|
Knock-Out Buffer Amount: |
40% |
|
Payment at Maturity: |
If a Knock-Out Event has occurred during the first Monitoring Period, your final payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Basket Return) |
|
|
If a Knock-Out Event has not occurred during the first Monitoring Period but has occurred during any subsequent Monitoring Period, your final payment at maturity will be determined as follows: |
|
|
If the Ending Basket Level is greater than the Restriking Basket Level, your final payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Excess Basket Return) |
|
|
If the Ending Basket Level is greater than or equal to the Starting Basket Level and less than or equal to the Restriking Basket Level, your final payment at maturity per $1,000 principal amount note will be $1,000. |
|
|
If the Ending Basket Level is less than the Starting Basket Level, your final payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Basket Return) |
|
|
If a Knock-Out Event has occurred, you may lose some or all of your initial investment at maturity if the Ending Basket Level has declined from the Starting Basket Level. |
|
|
If a Knock-Out Event does not occur, your final payment at maturity will be determined as follows: |
|
|
If the Ending Basket Level is greater than the Restriking Basket Level, your final payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Excess Basket Return) |
|
|
If the Ending Basket Level is less than or equal to the Restriking Basket Level, your final payment at maturity per $1,000 principal amount note will be $1,000. |
|
|
If a Knock-Out Event does not occur, your maximum payment at maturity will be limited to your initial investment if the Ending Basket Level is less than the Restriking Basket Level. |
|
Basket Return: |
Ending Basket Level
Starting Basket Level |
|
Excess Basket Return: |
Ending Basket Level
Restriking Basket Level |
|
Starting Basket Level: |
Set equal to 100 on the pricing date, which is expected to be on or about November 27, 2007. |
|
Restriking Basket Level: |
Starting Basket Level + [Starting Basket Level x (Interest
Payments / $1,000)], |
|
Ending Basket Level: |
The Basket Closing Level on the Observation Date. |
|
Basket Closing Level: |
The Basket Closing Level on any trading day will be calculated as follows: |
|
|
100 x [1 + (S&P 500 Return * S&P 500 Weighting) + (Nikkei Return * Nikkei Weighting) + (EURO STOXX Return * EURO STOXX Weighting)] |
|
|
Each of the S&P 500 Return, the Nikkei Return and the EURO STOXX Return is the performance of the relevant Basket Index, expressed as a percentage, from the relevant Index closing level on the pricing date (each an Index starting level) to the relevant Index closing level on such trading day. For additional information, see Description of Notes Payment at Maturity in the accompanying product supplement no. 105-I. |
|
Observation Date: |
November 24, 2010 |
|
Maturity Date: |
November 30, 2010 |
|
CUSIP: |
48123MFQ0 |
|
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. 105-I. |
Investing in the Index Basket Knock-Out Notes involves a number of risks. See Risk Factors beginning on page PS-10 of the accompanying product supplement no. 105-I and Selected Risk Considerations beginning on page TS-2 of this term sheet.
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.
|
|||
|
Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
|
|||
Per note |
$ |
$ |
$ |
|
|||
Total |
$ |
$ |
$ |
|
(1)
|
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 $45.00 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $20.00 per $1,000 principal amount note. The actual commission received by JPMSI may be more or less than $45.00 and will depend on market conditions on the pricing date. In no event will the commission received by JPMSI, which includes concessions that may be allowed to other dealers, exceed $52.50 per $1,000 principal amount note. See Underwriting beginning on page PS-41 of the accompanying product supplement no. 105-I. |
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
November 7, 2007
ADDITIONAL KEY TERMS
Interest Period: |
The period beginning on and including the issue date of the notes and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date. |
Interest Payment Dates: |
Interest, if any, on the notes will be payable annually in arrears on November 30 of each year (each such date, an Interest Payment Date), commencing November 30, 2008. See Selected Purchase Considerations Contingent Annual Interest Payments in this term sheet for more information. |
Monitoring Periods: |
With respect to the first Interest Period, the Monitoring Period will be the period beginning on and including the pricing date and ending on and including the third business day immediately preceding the first Interest Payment Date (we refer to each such final day of a Monitoring Period as an Ending Monitoring Date), and, with respect to each successive Interest Period, the Monitoring Period will be the period beginning on and including the first business day immediately succeeding the Ending Monitoring Date of the immediately preceding Monitoring Period and ending on and including the third business day immediately preceding the next succeeding Interest Payment Date. Notwithstanding the foregoing, the final Ending Monitoring Date will be the Observation Date. Each Ending Monitoring Date is subject to postponement in the event of certain market disruption events and as described under Description of Notes Interest Payments in the accompanying product supplement no. 105-I. |
Additional Terms Specific to the Notes
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. 105-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.
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. 105-I dated November 6, 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. 105-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.
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments
Contingent Interest Index Basket Knock-Out Notes Linked to an Equally Weighted Basket Consisting of the S&P 500® Index, the Nikkei 225 Index and the Dow Jones EURO STOXX 50® Index |
TS-1 |
The Internal Revenue Service 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. You should consult your tax adviser regarding the treatment of the notes, including possible alternative characterizations.
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 Indices or any of the component stocks of the Basket Indices. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 105-I dated November 6, 2007.
|
|
JPMorgan
Structured Investments
Contingent Interest Index Basket Knock-Out Notes Linked to an Equally Weighted Basket Consisting of the S&P 500® Index, the Nikkei 225 Index and the Dow Jones EURO STOXX 50® Index |
TS-2 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Basket if a Knock-Out Event Does Not Occur?
The following table illustrates the hypothetical total return at maturity on the notes if a Knock-Out Event does not occur. The total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the sum of the interest payments and the payment at maturity per $1,000 principal amount note to $1,000. The following table and examples reflect the Restriking Basket Level of 114.25 if a Knock-Out Event does not occur. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
|
|||
Ending Basket |
Basket Return |
Excess Basket |
Total Return(1) |
|
|||
200.00 |
100.00% |
85.75% |
100.00% |
180.00 |
80.00% |
65.75% |
80.00% |
150.00 |
50.00% |
35.75% |
50.00% |
130.00 |
30.00% |
15.75% |
30.00% |
120.00 |
20.00% |
5.75% |
20.00% |
115.00 |
15.00% |
0.75% |
15.00% |
114.25 |
14.25% |
N/A |
14.25% |
110.00 |
10.00% |
N/A |
14.25% |
109.50 |
9.50% |
N/A |
14.25% |
105.00 |
5.00% |
N/A |
14.25% |
104.75 |
4.75% |
N/A |
14.25% |
102.50 |
2.50% |
N/A |
14.25% |
100.00 |
0.00% |
N/A |
14.25% |
95.00 |
-5.00% |
N/A |
14.25% |
90.00 |
-10.00% |
N/A |
14.25% |
85.00 |
-15.00% |
N/A |
14.25% |
80.00 |
-20.00% |
N/A |
14.25% |
60.00 |
-40.00% |
N/A |
14.25% |
40.00 |
-60.00% |
N/A |
N/A |
20.00 |
-80.00% |
N/A |
N/A |
0.00 |
-100.00% |
N/A |
N/A |
|
(1)
|
Because a Knock-Out Event does not occur, the total return reflects, in addition to any payment at maturity, aggregate interest payments equal to $142.50 over the term of the notes. |
Hypothetical Examples of Amounts Payable at Maturity if a Knock-Out Event Does Not Occur
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: A Knock-Out Event does not occur, and the level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 120. Because a Knock-Out Event does not occur and the Ending Basket Level of 120 is greater than the Restriking Basket Level of 114.25, the Excess Basket Return is 5.75% and the investor receives a payment at maturity of $1,057.50 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x 5.75%) = $1,057.50
Accordingly, the investor receives an aggregate amount equal to $1,200 over the term of the notes, including $142.50 in interest payments.
Example 2: A Knock-Out Event does not occur, and the level of the Basket decreases from the Starting Basket Level of 100 to an Ending Basket Level of 80. Because a Knock-Out Event does not occur and the Ending Basket Level of 80 is less than the Restriking Basket Level of 114.25, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note. Accordingly, the investor receives an aggregate amount equal to $1,142.50 over the term of the notes, including $142.50 in interest payments.
Example 3: A Knock-Out Event does not occur, and the level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 110. Because a Knock-Out Event does not occur and the Ending Basket Level of 110 is less than the Restriking Basket Level of 114.25, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note. Accordingly, the investor receives an aggregate amount equal to $1,142.50 over the term of the notes, including $142.50 in interest payments.
|
|
JPMorgan
Structured Investments
Contingent Interest Index Basket Knock-Out Notes Linked to an Equally Weighted Basket Consisting of the S&P 500® Index, the Nikkei 225 Index and the Dow Jones EURO STOXX 50® Index |
TS-3 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Basket if a Knock-Out Event Has Occurred?
The following table illustrates the hypothetical total return at maturity on the notes if a Knock-Out Event has occurred. The total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the sum of the interest payments, if any, and the payment at maturity per $1,000 principal amount note to $1,000. The following table and examples reflect that the Restriking Basket Level of (a) 104.75 if a Knock-Out Event occurred during the second Monitoring Period for the first time during the term of the notes and (b) 109.50 if a Knock-Out Event occurred during the final Monitoring Period for the first time during the term of the notes. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
|
||||||
|
|
Excess Basket Return |
Total Return |
|||
|
||||||
Ending Basket |
Basket Return |
Second |
Final
|
First |
Second |
Third |
|
||||||
200.00 |
100.00% |
95.25% |
90.50% |
100.00% |
100.00% |
100.00% |
180.00 |
80.00% |
75.25% |
70.50% |
80.00% |
80.00% |
80.00% |
150.00 |
50.00% |
45.25% |
40.50% |
50.00% |
50.00% |
50.00% |
130.00 |
30.00% |
25.25% |
20.50% |
30.00% |
30.00% |
30.00% |
120.00 |
20.00% |
15.25% |
10.50% |
20.00% |
20.00% |
20.00% |
115.00 |
15.00% |
10.25% |
5.50% |
15.00% |
15.00% |
15.00% |
114.25 |
14.25% |
9.50% |
4.75% |
14.25% |
14.25% |
14.25% |
110.00 |
10.00% |
5.25% |
0.50% |
10.00% |
10.00% |
10.00% |
109.50 |
9.50% |
4.75% |
N/A |
9.50% |
9.50% |
9.50% |
105.00 |
5.00% |
0.25% |
N/A |
5.00% |
5.00% |
9.50% |
104.75 |
4.75% |
N/A |
N/A |
4.75% |
4.75% |
9.50% |
102.50 |
2.50% |
N/A |
N/A |
2.50% |
4.75% |
9.50% |
100.00 |
0.00% |
N/A |
N/A |
0.00% |
4.75% |
9.50% |
95.00 |
-5.00% |
N/A |
N/A |
-5.00% |
-0.25% |
4.50% |
90.00 |
-10.00% |
N/A |
N/A |
-10.00% |
-5.25% |
-0.50% |
85.00 |
-15.00% |
N/A |
N/A |
-15.00% |
-10.25% |
-5.50% |
80.00 |
-20.00% |
N/A |
N/A |
-20.00% |
-15.25% |
-10.50% |
60.00 |
-40.00% |
N/A |
N/A |
-40.00% |
-35.25% |
-30.50% |
40.00 |
-60.00% |
N/A |
N/A |
-60.00% |
-55.25% |
-50.50% |
20.00 |
-80.00% |
N/A |
N/A |
-80.00% |
-75.25% |
-70.50% |
0.00 |
-100.00% |
N/A |
N/A |
-100.00% |
-95.25% |
-90.50% |
|
(1)
|
Because a Knock-Out Event occurred for the first time during the second Monitoring Period, the total return reflects, in addition to any payment at maturity, an interest payment equal to $47.50 with respect to the first Interest Period only. |
(2)
|
Because a Knock-Out Event occurred for the first time during the final Monitoring Period, the total return reflects, in addition to any payment at maturity, aggregate interest payments equal to $95.00 with respect to the first and second Interest Periods only. |
Hypothetical Examples of Amounts Payable at Maturity if a Knock-Out Event Has Occurred
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: A Knock-Out Event has occurred during the first Monitoring Period, and the level of the Basket decreases from the Starting Basket Level of 100 to an Ending Basket Level of 80. Because a Knock-Out Event has occurred in the first Monitoring Period and the Ending Basket Level of 80 is less than the Starting Basket Level, the Basket Return is -20% and the investor receives a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x - -20%) = $800
Because a Knock-Out Event has occurred during the first Monitoring Period, no interest is paid over the term of the notes.
Example 2: A Knock-Out Event has occurred for the first time during the second Monitoring Period, and the level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 110. Because a Knock-Out Event has occurred for the first time during the second Monitoring Period and the Ending Basket Level of 110 is greater than the Restriking Basket Level of 104.75, the Excess Basket Return is 5.25%, the investor receives a payment at maturity of $1,052.50 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x 5.25%) = $1,052.50
Because a Knock-Out Event has occurred for the first time during the second Monitoring Period, no interest is paid after the first Interest Period. Accordingly, the investor receives an aggregate amount equal to $1,100 over the term of the notes, including the $47.50 interest payment paid with respect to the first Interest Period.
Example 3: A Knock-Out Event has occurred for the first time during the second Monitoring Period, and the level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 102.50. Because a Knock-Out Event has occurred for the first time during the second Monitoring Period and the Ending Basket Level of 102.50 is greater than the Starting Basket Level of 100 but less than the Restriking Basket Level of 104.75, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Because a Knock-Out Event has occurred for the first time during the second Monitoring Period, no interest is paid after the first Interest Period. Accordingly, the investor receives an aggregate amount equal to $1,047.50 over the term of the notes, including the $47.50 interest payment paid with respect to the first Interest Period.
Example 4: A Knock-Out Event has occurred for the first time during the final Monitoring Period, and the level of the Basket decreases from the Starting Basket Level of 100 to an Ending Basket Level of 80. Because a Knock-Out Event has occurred for the first time during the final Monitoring Period and the Ending Basket Level of 80 is less than the Starting Basket Level of 100, the Basket Return is -20% and the investor receives a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x - -20%) = $800
Because a Knock-Out Event has occurred for the first time during the final Monitoring Period, no interest is paid after the second Interest Period. Accordingly, the investor receives an aggregate amount equal to $895 over the term of the notes, including $95 in interest payments with respect to the first and second Interest Periods.
Example 5: A Knock-Out Event has occurred for the first time during the final Monitoring Period, and the level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 120. Because a Knock-Out Event has occurred for the first time during the final Monitoring Period and the Ending Basket Level of 120 is greater than the Restriking Basket Level of 109.50, the Excess Basket Return is 10.50% and the investor receives a payment at maturity of $105 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x 10.50%) = $1,105
Because a Knock-Out Event has occurred for the first time during the final Monitoring Period, no interest is paid after the second Interest Period. Accordingly, the investor receives an aggregate amount equal to $1,200 over the term of the notes, including $95 in interest payments with respect to the first and second Interest Periods.
|
|
JPMorgan
Structured Investments
Contingent Interest Index Basket Knock-Out Notes Linked to an Equally Weighted Basket Consisting of the S&P 500® Index, the Nikkei 225 Index and the Dow Jones EURO STOXX 50® Index |
TS-4 |
Historical Information
The following graphs show the historical weekly performance of each Basket Index as well as the Basket as a whole from January 4, 2002 through November 2, 2007. The graph of the historical Basket performance assumes the Basket level on January 4, 2002 was 100 and the Index Weightings specified on the cover of this term sheet on that date. The Index closing level of the S&P 500® Index on November 6, 2007 was 1520.27. The Index closing level of the Nikkei 225 Index on November 6, 2007 was 16249.63. The Index closing level of the Dow Jones EURO STOXX 50® Index on November 6, 2007 was 4407.34.
We obtained the various Index closing levels 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 Basket Index and of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level of any Basket Index on the Observation Date or any trading day during the Monitoring Period. We cannot give you assurance that the performance of the Basket Indices will result in the return of any of your initial investment.
|
|
JPMorgan
Structured Investments
Contingent Interest Index Basket Knock-Out Notes Linked to an Equally Weighted Basket Consisting of the S&P 500® Index, the Nikkei 225 Index and the Dow Jones EURO STOXX 50® Index |
TS-5 |