Term
Sheet
To prospectus dated December 1, 2005, prospectus supplement dated October 12, 2006 and product supplement no. 108-I dated December 13, 2007 |
Term
Sheet to
Product
Supplement No. 108-I
Registration
Statement No. 333-130051
Dated
March 7, 2008; Rule 433
|
Structured
Investments |
JPMorgan
Chase & Co.
$ Upside Auto Callable Reverse Exchangeable Notes due September 30, 2008 Each
Linked to the Common Stock of a Different Single Reference Stock
Issuer
|
· |
This
term
sheet relates to four (4) separate note offerings. Each issue of
offered
notes is linked to one, and only one, Reference Stock. You may participate
in any of the four (4) note offerings or, at your election, in two
or more
of the offerings. This term sheet does not, however, allow you to
purchase
a note linked to a basket of some or all of the Reference Stocks
described
below.
|
· |
The
notes are
designed for investors who seek an interest rate that is higher
than the
current dividend yield on the applicable Reference Stock or the
yield on a
conventional debt security with the same maturity issued by us
or an
issuer with a comparable credit rating. Investors should be willing
(i) to
forgo the potential to participate in the appreciation of the
applicable
Reference Stock, (ii) to accept the risks of owning the common
stock of
the applicable Reference Stock issuer, (iii) to assume the risk
that the
notes will be automatically called and the investor will receive
less
interest than if the notes are not automatically called, and,
(iv) if the
notes are not automatically called, to lose some or all of their
principal
at maturity.
|
· |
Investing
in
the notes is not equivalent to investing in the shares of an issuer
of any
of the Reference Stocks.
|
· |
Each
issue of
offered notes will pay interest monthly at the applicable fixed rate
specified for that issue below. However, the
notes do not guarantee any return of principal at maturity.
Instead, if the notes are not automatically called, the
payment at
maturity will be based on the Final Share Price of the applicable
Reference Stock and whether the closing price of the applicable Reference
Stock has declined from the applicable Initial Share Price by more
than
the applicable Protection Amount during the Monitoring Period, as
described below. If the notes are automatically called you will receive,
for each $1,000 principal amount note, $1,000 plus accrued and unpaid
interest.
|
· |
If
the notes
are not automatically called, payment at maturity for each $1,000
principal amount note will be either a cash payment of $1,000 or
delivery
of shares of the applicable Reference Stock (or, at our election,
the Cash
Value thereof), in each case, together with any accrued and unpaid
interest, as described below.
|
· |
Minimum
denominations of $1,000 and integral multiples
thereof.
|
Automatic
Call:
|
If
on the
Call Date, the closing price of the applicable Reference Stock is
greater
than the applicable Initial Share Price, the notes will be automatically
called.
|
|
Payment
if
Called:
|
If
the notes
are automatically called, on the Call Settlement Date, for each $1,000
principal amount note, you will receive $1,000 plus any accrued and
unpaid
interest to but excluding the Call Settlement Date.
|
|
Payment
at
Maturity:
|
If
the notes
are not automatically called, the payment at maturity, in excess
of any
accrued and unpaid interest, will be based on the performance of
the
applicable Reference Stock. If the notes are not automatically called,
for
each $1,000 principal amount note, you will receive $1,000 plus any
accrued and unpaid interest at maturity, 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 notes
are not automatically called and the conditions described in both
(1) and
(2) are satisfied, at maturity you will receive, in addition to any
accrued and unpaid interest and 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:
|
September
30,
2008*
|
|
Pricing
Date:
|
On
or about
March 26, 2008
|
|
Settlement
Date:
|
On
or about
March 31, 2008
|
|
Call
Date:
|
June
25,
2008*
|
|
Call
Settlement Date:
|
June
30,
2008*, which is the third business day after the Call
Date.
|
|
Observation
Date:
|
September
25,
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 April
30, 2008, to and including the Interest Payment Date corresponding
to the
Maturity Date, unless the notes are automatically called. If the
notes are
automatically called, interest will accrue to but excluding the Call
Settlement Date, and will be payable on each Interest Payment Date
occurring before the Call Settlement Date and on the Call Settlement
Date.
See “Selected Purchase Considerations — Monthly Interest Payments” in this
term sheet 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.
108-I for further information about these adjustments.
|
|
Final
Share
Price:
|
The
closing
price of the applicable Reference Stock on the Observation
Date.
|
Interest
Rate
|
Approximate
Tax Allocation of
Monthly
Coupon†
|
||||||||||
Page
Number
|
Ticker
Symbol
|
If
Not
Automatically Called
|
If
Automatically Called
|
Protection
Amount
|
Initial
Share Price
|
CUSIP
|
Approximate
Monthly Coupon
|
Interest
on Deposit
|
Put
Premium
|
||
Alcoa
Inc.
|
TS-4
|
AA
|
7.00%
(equivalent to 14.00% per annum)
|
3.50%
(equivalent to 14.00% per annum)
|
25%
of the
Initial Share Price
|
48123MZD7
|
$11.67
|
20.14%
|
79.86%
|
||
The
Bear
Stearns Companies Inc.
|
TS-6
|
BSC
|
6.00%
(equivalent to 12.00% per annum)
|
3.00%
(equivalent to 12.00% per annum)
|
50%
of the
Initial Share Price
|
48123MZE5
|
$10.00
|
23.50%
|
76.50%
|
||
Corning
Incorporated
|
TS-8
|
GLW
|
5.00%
(equivalent to 10.00% per annum)
|
2.50%
(equivalent to 10.00% per annum)
|
30%
of the
Initial Share Price
|
48123MZF2
|
$8.33
|
28.20%
|
71.80%
|
||
Google
Inc.
|
TS-8
|
GOOG
|
6.00%
(equivalent to 12.00% per annum)
|
3.00%
(equivalent to 12.00% per annum)
|
25%
of the
Initial Share Price
|
48123MZG0
|
$10.00
|
23.50%
|
76.50%
|
* |
Subject
to
postponement in the event of a market disruption event and as
described
under “Description of Notes — Automatic Call” or “Description of Notes —
Payment at Maturity,” as applicable, in the accompanying product
supplement no. 108-I.
|
† |
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. 108-I under
“Certain U.S. Federal Income Tax Consequences” on page PS-29. The
allocations presented herein were determined as of March 6, 2008;
the
actual allocations will be determined as of the Pricing Date
and may
differ.
|
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.,
which we refer to as JPMSI, which include 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, commissions and concessions, please see “Supplemental Underwriting
Information” on the last page of this term
sheet.
|
· |
Product
supplement no. 108-I dated December 13,
2007:
|
· |
Prospectus
supplement dated October 12,
2006:
|
· |
Prospectus
dated December 1, 2005:
|
· |
THE
NOTES OFFER A HIGHER INTEREST RATE THAN THE YIELD ON DEBT
SECURITIES OF
COMPARABLE MATURITY ISSUED BY US OR AN ISSUER WITH A COMPARABLE
CREDIT
RATING —
The
notes
will pay interest at an Interest Rate depending upon the
applicable
Reference Stock, as indicated on the cover of this term sheet.
We believe
that the applicable Interest Rate is higher than the yield
received on
debt securities of comparable maturity issued by us or an
issuer with a
comparable credit rating. Because the notes are our senior
unsecured
obligations, any interest payment or any payment at maturity
is subject to
our ability to pay our obligations as they become
due.
|
· |
MONTHLY
INTEREST PAYMENTS —
The
notes offer monthly interest payments at the applicable Interest
Rate set
forth on the cover of this term sheet. Interest will be payable
monthly in
arrears on the last calendar day of each month (each
such date, an “Interest Payment Date”), commencing April 30, 2008,
to
and
including the Interest Payment Date corresponding to the
Maturity
Date,
unless the notes are automatically called. If the notes are
automatically
called, interest will accrue to but excluding the Call Settlement
Date,
and will be payable on each Interest Payment Date occurring
before the
Call Settlement Date and on the Call Settlement Date. Interest
will be
payable to the holders of record at the close of business
on the date 15
calendar days prior to the applicable Interest Payment Date
or Call
Settlement Date. If an Interest Payment Date is not a business
day,
payment will be made on the next business day immediately
following such
day, but no additional interest will accrue as a result of
the delayed
payment.
|
· |
POTENTIAL
EARLY EXIT WITH FULL PRINCIPAL PROTECTION AS A RESULT OF
THE AUTOMATIC
CALL FEATURE —
If the closing price of the applicable Reference Stock is
greater than the
applicable Initial Share Price on the Call Date, your notes
will be
automatically called prior to the maturity date. Under these
circumstances, on the Call Settlement Date, for each $1,000
principal
amount note, you will receive $1,000 plus accrued and unpaid
interest to
but excluding the Call Settlement
Date.
|
· |
THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE
NOTES ARE NOT
AUTOMATICALLY CALLED —
If
the
notes are not automatically called, your return of principal
at maturity
is protected so long as the applicable Final Share Price
does not decline
from the applicable Initial Share Price or the closing price
of the
applicable Reference Stock does not decline, as compared
to the applicable
Initial Share Price, by more than the applicable Protection
Amount on any
day during the Monitoring Period. However,
if the notes are not automatically called, if the applicable
Final Share
Price declines from the applicable Initial Share Price and
the closing
price of the applicable Reference Stock on any day during
the Monitoring
Period has declined by more than the applicable Protection
Amount, you
could lose the entire principal amount of your
notes.
|
· |
TAX
TREATMENT AS A UNIT COMPRISING A PUT OPTION AND A DEPOSIT
— You
should review carefully the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 108-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 the notes for U.S.
federal income tax purposes as units comprising:
(i) a
put option written by you that is
automatically terminable in
circumstances where
the
Automatic Call occurs and
that, if not terminated,
requires you to purchase the Reference Stock from us (or,
at our option,
the cash value thereof) at maturity under
circumstances where the payment at maturity is the Physical
Delivery
Amount and (ii) a deposit of $1,000 per $1,000 principal
amount note to
secure your potential obligation to purchase the Reference
Stock. We will
determine the portion of each coupon payment that we will
allocate to
interest on the Deposit and to Put Premium, respectively,
and will provide
those allocations in the pricing supplement for the notes.
By purchasing
the notes, you agree to treat the notes for U.S. federal
income tax
purposes consistently with our treatment and allocations
as described
above. If the notes had priced on March 6, 2008, the coupon payments
and the percentages thereof that we would have treated as
interest on the
Deposit and as Put Premium would have been as specified on
the cover of
this term sheet. The actual allocations that we will determine
for the
notes may differ from those hypothetical allocations, and
will depend upon
a variety of factors, including actual market conditions
and our borrowing
costs for debt instruments of comparable maturities on the
Pricing Date.
Assuming
this characterization is respected, amounts treated as interest
on the
Deposit will be taxed as ordinary income while the Put Premium
will not be
taken into account prior to maturity or sale including an
automatic call.
However, there are other reasonable treatments that the Internal
Revenue
Service (the “IRS”) or a court may adopt, 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.
While it is not clear whether the notes would be viewed as
similar to the
typical prepaid forward contract described in the notice,
it is possible
that 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.
The notice focuses on a number of issues, the most relevant
of which for
holders of the notes are
the character of income or loss (including whether the Put
Premium might
be currently included as ordinary income) and the degree,
if any, to which
income realized by Non-U.S. Holders should be subject to
withholding tax.
Both U.S.
and Non-U.S. Holders
should consult their
tax advisers
regarding all
aspects of the
U.S.
federal income tax consequences of an investment in
the notes, including possible alternative treatments
and the issues presented by
this notice. Purchasers who are not initial purchasers of
notes at the
issue price should
also
consult their tax advisers with respect to the
tax consequences of an investment
in the notes, including possible
alternative characterizations, as well as the allocation
of the purchase price of the notes between the Deposit and
the Put
Option.
|
· |
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes
do not guarantee any return of principal if the notes are
not
automatically called. If the notes are not automatically
called, the
payment at maturity will be based on the applicable Final
Share Price and
whether the closing price of the applicable Reference Stock
has declined
from the applicable Initial Share Price by more than the
applicable
Protection Amount on any day during the Monitoring Period.
Under certain
circumstances, you will receive at maturity a predetermined
number of
shares of the applicable Reference Stock (or, at our election,
the Cash
Value thereof). The market value of those shares of the applicable
Reference Stock or the Cash Value thereof will most likely
be less than
the principal amount of each note and may be zero. Accordingly,
you could lose up to the entire principal amount of your
notes.
|
· |
THE
AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT
—
The
notes
will be called before maturity if the closing price of the
applicable
Reference Stock is greater than the applicable Initial Share
Price on the
Call Date. Under these circumstances, the amount of interest
payable on
the notes will be less than the full amount of interest that
would have
been payable if the notes were held to maturity, and, for
each $1,000
principal amount note, you will receive $1,000 plus accrued
and unpaid
interest to but excluding the Call Settlement
Date.
|
· |
YOUR
PROTECTION MAY TERMINATE ON ANY DAY DURING THE TERM OF THE
NOTES
—
If
the
notes are not automatically called and, on any day during
the Monitoring
Period, the closing price of the applicable Reference Stock
declines below
the applicable Initial Share Price minus the applicable Protection
Amount,
you will at maturity be fully exposed to any depreciation
in the
applicable Reference Stock. We refer to this feature as a
contingent
buffer. Under these circumstances, and
if the
applicable Final Share Price is less than the applicable
Initial Share
Price, you will receive at maturity a predetermined number
of shares of
the applicable Reference Stock (or, at our election, the
Cash Value
thereof) and, consequently, you will lose 1% of the principal
amount of
your investment for every 1% decline in the applicable Final
Share Price
compared to the applicable Initial Share Price. You will
be subject to
this potential loss of principal even if the price of the
applicable
Reference Stock subsequently recovers such that the applicable
Final Share
Price is above the applicable Initial Share Price minus the
applicable
Protection Amount. If these notes had a non-contingent buffer
feature,
under the same scenario, you would have received the full
principal amount
of your notes plus accrued and unpaid interest at maturity.
As a result,
your investment in the notes may not perform as well as an
investment in a
security with a return that includes a non-contingent
buffer.
|
· |
YOUR
RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS
ACCRUED
INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF THE
APPLICABLE
REFERENCE STOCK —
If
the
notes are not automatically called, unless (i) the applicable
Final Share
Price is less than the applicable Initial Share Price and
(ii) 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, for
each $1,000
principal amount note, you will receive $1,000 at maturity
plus any
accrued and unpaid interest, regardless of any appreciation
in the value
of the applicable Reference Stock, which may be significant.
If the notes
are automatically called, for each $1,000 principal amount
note, you will
receive $1,000 on the Call Settlement Date plus any accrued
and unpaid
interest, regardless of the appreciation in the value of
the applicable
Reference Stock, which may be significant. Accordingly, the
return on the
notes may be significantly less than the return on a direct
investment in
the applicable Reference Stock during the term of the
notes.
|
· |
NO
OWNERSHIP RIGHTS IN THE APPLICABLE REFERENCE STOCK —
As
a holder
of the notes, you will not have any ownership interest or
rights in the
applicable Reference Stock, such as voting rights or dividend
payments. In
addition, the applicable Reference Stock issuer 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 applicable
Reference Stock and the notes.
|
· |
NO
AFFILIATION WITH THE REFERENCE STOCK ISSUERS —
We
are not
affiliated with the issuers of the Reference Stocks. We assume
no
responsibility for the adequacy of the information about
the Reference
Stock issuers contained in this term sheet or in product
supplement no.
108-I. You should make your own investigation into the Reference
Stocks
and their issuers. We are not responsible for the Reference
Stock issuers’
public disclosure of information, whether contained in SEC
filings or
otherwise.
|
· |
CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF
THE NOTES PRIOR
TO MATURITY —
While
the
payment at maturity, if any, or upon an automatic call 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
estimated 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.
|
· |
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.
|
· |
POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the
issuance of the
notes, including acting as calculation agent. 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. We and/or our affiliates may also currently or from
time to time
engage in business with the Reference Stock issuers, including
extending
loans to, or making equity investments in, such Reference
Stock issuer(s)
or providing advisory services to such Reference Stock issuer(s).
In
addition, one or more of our affiliates may publish research
reports or
otherwise express opinions with respect to the Reference
Stock issuers and
these reports may or may not recommend that investors buy
or hold the
Reference Stock(s). As a prospective purchaser of the notes,
you should
undertake an independent investigation of the applicable
Reference Stock
issuer that in your judgment is appropriate to make an informed
decision
with respect to an investment in the notes.
|
· |
HEDGING
AND TRADING IN THE REFERENCE STOCK —
While
the
notes are outstanding, we or any of our affiliates may carry
out hedging
activities related to the notes, including in the Reference
Stocks or
instruments related to such Reference Stock(s). We or our
affiliates may
also trade in the Reference Stocks or instruments related
to Reference
Stock(s) from time to time. Any of these hedging or trading
activities as
of the Pricing Date and during the term of the notes could
adversely
affect our payment to you at
maturity.
|
· |
MANY
ECONOMIC AND MARKET FACTORS WILL INFLUENCE THE VALUE OF THE
NOTES —
In
addition
to the value of the applicable Reference Stock and interest
rates on any
trading 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
and which are set out in more detail in product supplement
no. 108-I.
|
·
the
Initial Share Price:
|
$38.00
|
·
the
Protection Amount: $9.50
|
·
the
Interest Rate:
|
7.00%
(equivalent to
14.00% per annum) if the note is held to maturity
|
|||
3.50% (equivalent to 14.00% per annum) if the note is automatically called |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$38.00
|
$36.10
|
$76.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$38.00
|
$76.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$19.00
|
$36.10
|
$39.90
|
$1,000.00
|
N/A
|
$1,000.00
|
$19.00
|
$39.90
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$38.00
|
$38.00
|
$38.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$28.50
|
$30.40
|
$28.50
|
$1,000.00
|
N/A
|
$1,000.00
|
$19.00
|
$38.00
|
$36.10
|
26
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$19.00
|
$28.50
|
$19.00
|
26
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$500.00
|
$9.50
|
$19.00
|
$9.50
|
26
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$11.40
|
$0.00
|
26
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
** |
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the
Cash Value
thereof) or the principal amount of your note in cash or (2)
on the Call
Settlement Date, $1,000 in cash. Also note that if you receive
the
Physical Delivery Amount at maturity, 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
Initial Share Price:
|
$70.00
|
·
the
Protection Amount: $35.00
|
·
the
Interest Rate:
|
6.00%
(equivalent to
12.00% per annum) if the note is held to maturity
|
|||
3.00% (equivalent to 12.00% per annum) if the note is automatically called |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$70.00
|
$66.50
|
$140.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$70.00
|
$140.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$28.00
|
$66.50
|
$73.50
|
$1,000.00
|
N/A
|
$1,000.00
|
$28.00
|
$73.50
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$70.00
|
$70.00
|
$70.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$35.00
|
$56.00
|
$35.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$28.00
|
$70.00
|
$66.50
|
14
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$28.00
|
$49.00
|
$28.00
|
14
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$400.00
|
$17.50
|
$28.00
|
$17.50
|
14
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$21.00
|
$0.00
|
14
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
** |
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the
Cash Value
thereof) or the principal amount of your note in cash or (2)
on the Call
Settlement Date, $1,000 in cash. Also note that if you receive
the
Physical Delivery Amount at maturity, 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
Initial Share Price:
|
$23.00
|
·
the
Protection Amount: $6.90
|
·
the
Interest Rate:
|
5.00%
(equivalent to
10.00% per annum) if the note is held to maturity
|
|||
2.50% (equivalent to 10.00% per annum) if the note is automatically called |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$23.00
|
$21.85
|
$46.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$23.00
|
$46.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$11.50
|
$21.85
|
$24.15
|
$1,000.00
|
N/A
|
$1,000.00
|
$11.50
|
$24.15
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$23.00
|
$23.00
|
$23.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$16.10
|
$18.40
|
$16.10
|
$1,000.00
|
N/A
|
$1,000.00
|
$11.50
|
$23.00
|
$21.85
|
43
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$11.50
|
$16.10
|
$11.50
|
43
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$500.00
|
$5.75
|
$11.50
|
$5.75
|
43
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$6.90
|
$0.00
|
43
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
** |
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the
Cash Value
thereof) or the principal amount of your note in cash or (2)
on the Call
Settlement Date, $1,000 in cash. Also note that if you receive
the
Physical Delivery Amount at maturity, 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
Initial Share Price:
|
$430.00
|
·
the
Protection Amount:$107.50
|
·
the
Interest Rate:
|
6.00%
(equivalent to
12.00% per annum) if the note is held to maturity
|
|||
3.00% (equivalent to 12.00% per annum) if the note is automatically called |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Closing Price on the Call Date
|
Hypothetical
Final Share Price
|
Payment
at Maturity**
|
Payment
on Call Settlement Date**
|
Total
Value of Payment Received at Maturity or on Call Settlement
Date**
|
$430.00
|
$408.50
|
$860.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$430.00
|
$860.00
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$215.00
|
$408.50
|
$451.50
|
$1,000.00
|
N/A
|
$1,000.00
|
$215.00
|
$451.50
|
N/A
|
N/A
|
$1,000.00
|
$1,000.00
|
$430.00
|
$430.00
|
$430.00
|
$1,000.00
|
N/A
|
$1,000.00
|
$322.50
|
$344.00
|
$322.50
|
$1,000.00
|
N/A
|
$1,000.00
|
$215.00
|
$430.00
|
$408.50
|
2
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$950.00
|
$215.00
|
$322.50
|
$215.00
|
2
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$500.00
|
$107.50
|
$215.00
|
$107.50
|
2
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$250.00
|
$0.00
|
$129.00
|
$0.00
|
2
shares of
the Reference Stock or the Cash Value thereof
|
N/A
|
$0.00
|
** |
Note
that you
will receive at maturity or on the Call Settlement Date, as applicable,
accrued and unpaid interest in cash, in addition to (1) at maturity,
either shares of the Reference Stock (or, at our election, the
Cash Value
thereof) or the principal amount of your note in cash or (2)
on the Call
Settlement Date, $1,000 in cash. Also note that if you receive
the
Physical Delivery Amount at maturity, 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.
|