Term Sheet
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Term Sheet No. 1 to
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Structured |
JPMorgan Chase & Co. |
General
Key Terms
Basket: |
The notes are linked to a basket consisting of the S&P 500® Index (SPX), the Nikkei 225 Index (NKY), the Dow Jones EURO STOXX 50® Index (SX5E) and the iShares® MSCI Emerging Markets Index Fund (EEM) (each a Basket Component and, together, the Basket Components). |
Component Weightings: |
The S&P Weighting is 30%, the Nikkei Weighting is 30%, the EURO STOXX Weighting is 30% and the MSCI Emerging Markets Weighting is 10% (each a Component Weighting and, collectively, the Component Weighting). |
Upside Leverage Factor: |
At least 1.2*. |
Payment at Maturity: |
If the Ending Basket Level is greater than the Starting Basket Level, you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Basket Return multiplied by 1.2*. Accordingly, if the Basket Return is positive, your payment per $1,000 principal amount note will be calculated as follows: |
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$1,000 + [$1,000 x (Basket Return x 1.2*)] |
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* The actual Upside Leverage Factor will be set on the pricing date and will not be less than 1.2. |
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Your principal is protected against up to a 10% decline in the Basket. If the Ending Basket Level declines from the Starting Basket Level by up to 10%, you will receive the principal amount of your notes at maturity. |
If the Ending Basket Level declines from the Starting Basket Level by more than 10%, you will lose 1% of the principal amount of your notes for every 1% that the Basket declines beyond 10%. Under these circumstances, your final payment per $1,000 principal amount note will be calculated as follows: | |
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$1,000 + [$1,000 x (Basket Return+ 10%)] |
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If the Ending Basket Level declines from the Starting Basket Level by more than 10%, you could lose up to $900 per $1,000 principal amount note. |
Buffer Amount: |
10%, which results in a minimum payment of $100 per $1,000 principal amount note. |
Basket Return: |
Ending Basket Level
Starting Basket Level |
Starting Basket Level: |
Set equal to 100 on the pricing date. |
Ending Basket Level: |
The Basket Closing Level on the Observation Date. |
Basket Closing Level: |
The Basket Closing Level will be calculated as follows: |
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100 x [1 + (S&P Return * 30%) + (Nikkei Return * 30%) + (EURO STOXX Return * 30%) + (MSCI Emerging Markets Return * 10%)] |
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The S&P Return, the Nikkei Return, the EURO STOXX Return and the MSCI Emerging Markets Return are the performance of the respective Basket Components, expressed as a percentage, from the respective component closing level or closing price on the pricing date to the respective components closing level or closing price on the Observation Date. The Final Share Price used to calculate the MSCI Emerging Markets Return is the closing price of one share of the iShares® MSCI Emerging Markets Index Fund on the Observation Date, multiplied by the Share Adjustment Factor. For additional information, see Description of Notes Payment at Maturity in the accompanying product supplement no. 39-II. |
Share Adjustment Factor: |
1.0 on the pricing date and subject to adjustment under certain circumstances. See Description of Notes Payment at Maturity and General Terms of Notes Anti Dilution Adjustments in the accompanying product supplement no. 39-II for further information about these adjustments. |
Observation Date: |
May 24, 2010 |
Maturity Date: |
May 27, 2010 |
CUSIP: |
48123JXT1 |
| 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. 39-II. |
Investing in the Buffered Return Enhanced Notes involves a number of risks. See Risk Factors beginning on page PS-6 of the accompanying product supplement no. 39-II and Selected Risk Considerations beginning on page TS-2 of this term sheet.
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 Web site 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. 39-II 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.
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.
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Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(1) | If the notes priced today, J.P. Morgan Securities Inc., whom we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $41.00 per $1,000 principal amount note and would use a portion of that commission to allow 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 $41.00 and will depend on market conditions on the pricing date. In no event will the commission received by JPMSI, which includes concessions to be allowed to other dealers, exceed $60.00 per $1,000 principal amount note. See Underwriting beginning on page PS-31 of the accompanying product supplement no. 39-II. |
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
May 2, 2007
ADDITIONAL TERMS SPECIFIC TO THE NOTES
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. 39-II dated May 2, 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. 39-II, 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 Web site at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC Web site):
Our Central Index Key, or CIK, on the SEC Web site is 19617. As used in this term sheet, the Company, we, us, or our refers to JPMorgan Chase & Co.
Selected Purchase Considerations
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JPMorgan Structured Investments |
TS-1 |
Selected Risk Considerations
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JPMorgan Structured Investments |
TS-2 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Basket?
The following table illustrates the hypothetical total return at maturity on the notes. The total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns set forth below assume an Upside Leverage Factor of 1.2. 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.
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Ending |
Basket Return |
Total Return |
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180 |
80.00% |
96.00% |
170 |
70.00% |
84.00% |
160 |
60.00% |
72.00% |
150 |
50.00% |
60.00% |
140 |
40.00% |
48.00% |
130 |
30.00% |
36.00% |
120 |
20.00% |
24.00% |
110 |
10.00% |
12.00% |
105 |
5.00% |
6.00% |
100 |
0.00% |
0.00% |
95 |
-5.00% |
0.00% |
90 |
-10.00% |
0.00% |
80 |
-20.00% |
-10.00% |
70 |
-30.00% |
-20.00% |
60 |
-40.00% |
-30.00% |
50 |
-50.00% |
-40.00% |
40 |
-60.00% |
-50.00% |
30 |
-70.00% |
-60.00% |
20 |
-80.00% |
-70.00% |
10 |
-90.00% |
-80.00% |
0 |
-100.00% |
-90.00% |
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Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The level of the Basket increases from a Starting Basket Level of 100 to an Ending Basket Level of 105. Because the Ending Basket Level of 105 is greater than the Starting Basket Level of 100, the investor receives a payment at maturity of $1,060 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (5% x 1.2)] = $1,060
Example 2: The level of the Basket decreases from a Starting Basket Level of 100 to an Ending Basket Level of 90. Because the Ending Basket Level of 90 is less than the Starting Basket Level of 100 by not more than the Buffer Amount of 10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Basket decreases from a Starting Basket Level of 100 to an Ending Basket Level of 80. Because the Ending Basket Level of 80 is less than the Starting Basket Level of 100 by more than the Buffer Amount of 10%, the Basket Return is negative and the investor receives a payment at maturity of $900 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (-20% + 10%)] = $900
Example 4: The level of the Basket decreases from a Starting Basket Level of 100 to an Ending Basket Level of 0. Because the Ending Basket Level of 0 is less than the Starting Basket Level of 100 by more than the Buffer Amount of 10%, the Basket Return is negative and the investor receives a payment at maturity of $100 per $1,000 principal amount note, which reflects the principal protection provided by the 10% Buffer Amount, calculated as follows:
$1,000 + [$1,000 x (-100% + 10%)] = $100
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JPMorgan Structured Investments |
TS-3 |
Historical Information
The following graphs show the historical weekly performance of the S&P 500® Index, the Nikkei 225 Index, the Dow Jones EURO STOXX 50® Index from January 2, 2002 through April 27, 2007 as well as the iShares® MSCI Emerging Markets Index Fund and the Basket as a whole from April 11, 2003 through April 30, 2007. The graph of the historical Basket performance assumes the Basket level on April 11, 2003 was 100 and the Component Weightings specified on the cover of this term sheet on that date. The closing level of the S&P 500® Index on May 1, 2007 was 1486.30. The closing level of the Nikkei 225 Index on May 1, 2007 was 17274.98. The closing level of the Dow Jones EURO STOXX 50® Index on April 30, 2007 was 4392.34. The Index closing level of the iShares® MSCI Emerging Markets Index Fund on May 1, 2007 was 121.32.
We obtained the various Basket 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 closing level of any Basket Index on the Observation Date. We cannot give you assurance that the performance of the Basket Components will result in the return of any of your initial investment in excess of $100 per $1,000 principal amount note.
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JPMorgan Structured Investments |
TS-4 |