|
Term
sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 68-I dated February 7, 2007
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Term
Sheet to
Product
Supplement No. 68-I
Registration
Statement No. 333-130051
Dated
April 9, 2008; Rule 433
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Structured
Investments
|
JPMorgan
Chase & Co.
$
6.30%†
(equivalent to 12.60%† per
annum) Reverse Exchangeable Notes due October 22,
2008
Linked
to the Least Performing Common Stock of Caterpillar Inc. and
Archer-Daniels-Midland Company
†
The actual interest rate will be determined
on the
Pricing Date and will not be less than 6.30% (equivalent to 12.60%
per
annum)
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General
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·
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The
notes are
designed for investors who seek a higher interest rate than the current
dividend yield on the Reference Stocks, or than 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
to
forgo the potential to participate in appreciation in the Reference
Stocks, be willing to accept the risks of owning equities generally
and be
willing to lose some or all of their principal if the closing price
of
either of the Reference Stocks decreases by more than its Protection
Amount during the Monitoring Period.
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·
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The
notes
will pay at least 6.30%†
(equivalent
to 12.60%†
per annum)
interest during the term of the notes. However,
the
notes do not guarantee any return of principal at
maturity.
Instead,
the payment at maturity will be based on the Final Share Price of
the
Least Performing Reference Stock and whether the closing price of
either
Reference Stock has declined from its Initial Share Price by more
than its
Protection Amount during the Monitoring Period, as described
below.
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·
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Senior
unsecured obligations of JPMorgan Chase & Co. maturing October 22,
2008††.
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·
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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 Least Performing Reference
Stock (or, at our election, the Cash Value thereof), in each case,
together with any accrued and unpaid interest, as described
below.
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·
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Minimum
denominations of $1,000 and integral multiples
thereof.
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Key
Terms
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Reference
Stocks:
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The
common
stock of Caterpillar Inc. and Archer-Daniels-Midland Company (each
such
common stock, a “Reference Stock,” and together, the “Reference Stocks”).
Upon the occurrence of certain corporate events with respect to the
issuers of the Reference Stocks, the Reference Stocks may change
during
the term of the notes. See “General Terms of Notes — Anti-dilution
Adjustments — Reorganization Events” in the accompanying product
supplement no. 68-I for further information about changes to the
Reference
Stocks.
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|
Interest
Rate:
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At
least 6.30% (equivalent to 12.60% per annum) during the term of the
notes,
paid
monthly and calculated on a 30/360 basis. The actual interest rate
will be
determined on the Pricing Date and will not be less than 6.30% (equivalent
to 12.60% per annum).
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Protection
Amount:
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For
each
Reference Stock, an amount that represents 30.0%
of the applicable Initial Share Price of such Reference Stock, subject
to
adjustments. Please see “The
Reference Stocks — Initial
Share Prices, Protection Amounts and Physical Delivery Amounts” below for
the Protection Amount for each Reference Stock.
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Maturity
Date:
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October
22,
2008††
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Pricing
Date:
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On
or about
April 17, 2008
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Settlement
Date:
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On
or about
April 22, 2008
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Observation
Date:
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October
16,
2008††
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CUSIP:
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48123MR53
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Interest
Payment Date:
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Interest
on
the notes will be payable monthly in arrears on the 22nd
calendar day
of each month (each such date, an “Interest Payment Date”), commencing May
22, 2008, to and including the Interest Payment Date corresponding
to the
Maturity Date. See “Selected Purchase Considerations — Monthly
Interest Payments” in this term sheet for more
information.
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|
Payment
at
Maturity:
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You
will
receive $1,000 for each $1,000 principal amount note plus any accrued
and
unpaid interest at maturity unless
(a) a
Trigger Event has occurred and (b) the Cash Value of the Physical
Delivery
Amount for the Least Performing Reference Stock is less than $1,000,
in
which case in lieu of $1,000 in cash you will receive the Physical
Delivery Amount (or, at our election, the Cash Value thereof) for
the
Least Performing Reference Stock. The
market value of the shares of the Least Performing Reference Stock
delivered to you as the Physical Delivery Amount or the Cash Value
thereof
will be less than the principal amount of your notes and may be zero.
Accordingly, you may lose some or all of your principal if you invest
in
the notes.
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Trigger
Event:
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A
Trigger
Event occurs if, on any day during the Monitoring Period, the closing
price of either Reference Stock has declined, as compared to that
particular Reference Stock’s Initial Share Price, by more than that
Reference Stock’s Protection Amount.
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Least
Performing Reference Stock:
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The
Reference
Stock with either (i) the greatest percentage decrease between its
Initial
Share Price and its Final Share Price, as compared to the percentage
decrease or increase between the Initial Share Price and Final Share
Price
of the other Reference Stock, or, (ii) if the Final Share Price of
each of
the Reference Stocks has appreciated in value as compared to its
respective Initial Share Price, the lowest percentage increase between
such Reference Stock’s Initial Share Price and its Final Share Price, as
compared to the percentage increase between the Initial Share Price
and
Final Share Price of the other Reference Stock. The determination
of the
single Least Performing Reference Stock may be affected by the occurrence
of certain corporate events affecting such Reference Stock. See “General
Terms of Notes — Anti-dilution Adjustments.”
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Monitoring
Period:
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The
period
from the Pricing Date to and including the Observation Date.
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Physical
Delivery Amount:
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For
each
Reference Stock, the number of shares of such Reference Stock, per
$1,000
principal amount note, equal to $1,000 divided by the Initial Share
Price
of such Reference Stock, subject to adjustments. Please
see “The Reference Stocks — Initial Share Prices, Protection Amounts
and Physical Delivery Amounts” below for the Physical Delivery Amount for
each Reference Stock.
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Initial
Share
Price:
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For
each
Reference Stock, the closing price of the Reference Stock on the
Pricing
Date. Please
see “The Reference Stocks — Initial Share Prices, Protection Amounts
and Physical Delivery Amounts” below for the Initial Share Price for each
Reference Stock. The
Initial
Share Price is subject to adjustments and either Reference Stock
issuer
may be changed in certain circumstances. See “Description of Notes —
Payment at Maturity” and “General
Terms of Notes — Anti-dilution Adjustments”
in the
accompanying product supplement no. 68-I for further information
about
these adjustments.
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Final
Share
Price:
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For
each
Reference Stock, the closing price of such Reference Stock on the
Observation Date.
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††
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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.
68-I.
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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. 68-I 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, each prospectus supplement, product supplement no.
68-I
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. 68-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.
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 or the accompanying
prospectus supplements and prospectus. Any representation to the contrary is
a
criminal offense.
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Price
to Public
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Fees
and Commissions (1)
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Proceeds
to Us
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Per
note
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$
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$
|
$
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Total
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$
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$
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$
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(1)
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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 $35.00 per $1,000 principal amount note and would
use a
portion of that commission to allow selling concessions to other
dealers
of approximately $15.00 per $1,000 principal amount note. The concessions
of $15.00 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 $35.00 and will depend
on
market conditions on the Pricing Date. In no event will the commission
received by JPMSI, which includes concessions to be paid to other
dealers,
exceed $60.00 per $1,000 principal amount note. See “Underwriting”
beginning on page PS-28 of the accompanying product supplement no.
68-I.
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The
total aggregate principal amount of notes being offered by this term sheet
may
not be purchased by investors in the offering. Under these circumstances, JPMSI
will retain the unsold portion of the offering and has agreed to hold such
notes
for investment for a period of at least 30 days. The unsold portion of notes
will not exceed 15% of the aggregate principal amount of notes. Any unsold
portion may affect the supply of the notes available for secondary trading
and,
therefore, could adversely affect the price of the notes in the secondary
market. Circumstances may occur in which our interests or those of our
affiliates could be in conflict with your interests.
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
April
9,
2008
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. 68-I dated February
7,
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. 68-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):
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·
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Product
supplement no. 68-I dated
February 7,
2007:
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·
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Prospectus
supplement dated October 12, 2006:
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·
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Prospectus
dated December 1, 2005:
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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
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·
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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 at least 6.30% (equivalent to 12.60% per annum) interest
during the term of the notes, which we believe is higher than the
yield
received on debt securities of comparable maturity issued by us or
an
issuer with a comparable credit rating. The actual interest rate
will be
determined on the Pricing Date and will not be less than 6.30% (equivalent
to 12.60% per annum) during the term of the notes. 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.
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|
·
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MONTHLY
INTEREST PAYMENTS — The
notes offer monthly interest payments at a rate of at least 6.30%
(equivalent to 12.60% per annum) over the term of the notes. Interest
will
be payable monthly in arrears on the 22nd
calendar day of each month (each such date, an “Interest Payment Date”),
commencing May 22, 2008, to and including the Interest Payment Date
corresponding to the Maturity Date, to the holders of record at the
close
of business on the date 15 calendar days prior to the applicable
Interest
Payment 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.
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·
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THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR
PRINCIPAL —
Your return
of principal at maturity is protected so long as a Trigger Event
does not
occur or if the Final Share Price of each Reference Stock has appreciated,
as compared to its respective Initial Share Price. However, if a
Trigger
Event has occurred, you could lose the entire principal amount of
your
notes.
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·
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YOUR
RETURN AT MATURITY MAY BE BASED ON A REFERENCE STOCK THAT DID NOT
EXPERIENCE A DECLINE IN EXCESS OF ITS PROTECTION AMOUNT DURING THE
MONITORING PERIOD — Your
return
at maturity may not necessarily be based on a Reference Stock that
declines by more than its Protection Amount during the Monitoring
Period.
For example, if a Trigger Event occurs with respect to a Reference
Stock
and that Reference Stock experiences a significant closing price
increase
on the Observation Date such that its Final Share Price exceeds its
Initial Share Price, your return on the notes will probably not be
based
on the performance of that Reference Stock. Under these circumstances,
if
on the Observation Date the Final Share Price of the remaining Reference
Stock declines from its Initial Share Price, your return on the notes
will
be based on the Least Performing Reference Stock, which Reference
Stock
will be different than the Reference Stock that initially declined
by more
than its Protection Amount. Accordingly, you could lose a portion
of your
principal amount even if the Least Performing Reference Stock never,
at
any time during the Monitoring Period, declined by more than its
Protection Amount.
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·
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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. 68-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 as
units comprising a Put Option and a Deposit for U.S. federal income
tax
purposes. 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 that allocation 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 allocation
as
described above. If the notes had priced on April 8, 2008, we would
have
treated approximately 20.71% of each coupon payment as interest on
the
Deposit and the remainder as Put Premium. The actual allocation that
we
will determine for the notes may differ from this hypothetical allocation,
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. 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.
|
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the Least Performing Common Stock of Caterpillar
Inc. and Archer-Daniels-Midland Company
TS-1
Selected
Risk Considerations
An
investment in the notes involves significant risks. Investing in the notes
is
not equivalent to investing directly in either or both of the Reference Stocks.
These risks are explained in more detail in the “Risk Factors” section of the
accompanying product supplement no. 68-I dated February 7, 2007.
|
·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes do not guarantee any return of principal. The payment at maturity
will be based on the Final Share Price of the Least Performing Reference
Stock and whether the closing
price of
either Reference Stock
has declined
from its Initial Share Price by more than its Protection Amount on
any day
during the Monitoring Period. Under certain circumstances, you will
receive at maturity a predetermined number of shares of the Least
Performing Reference Stock (or, at our election, the Cash Value thereof).
The market value of those shares of the Least Performing Reference
Stock
or the Cash Value thereof will be less than the principal amount
of each
note and may be zero. In addition, on the Pricing Date, stock prices
generally in the market and stock prices for the Reference Stocks
may be
significantly higher than historical averages, which could increase
the
likelihood of subsequent declines in stock prices and of a Trigger
Event
with respect to one such Reference Stock. Accordingly, you could
lose up
to the entire principal amount of your
notes.
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|
·
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YOUR
PROTECTION MAY TERMINATE ON ANY DAY DURING THE TERM OF THE
NOTES —
If, on any
day during the Monitoring Period, the closing price of either Reference
Stock declines below its Initial Share Price minus its Protection
Amount,
you will be fully exposed to any depreciation in the Least Performing
Reference Stock. We refer to this feature as a contingent buffer.
Under
these circumstances, if the Cash Value of the Physical Delivery Amount
for
the Least Performing Reference Stock is less than $1,000, you will
receive
at maturity for each $1,000 principal amount note a predetermined
number
of shares of the Least Performing 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 Final
Share Price of the Least Performing Reference Stock compared to the
Initial Share Price of the Least Performing Reference Stock. You
will be
subject to this potential loss of principal even if the prices of
the
Reference Stocks subsequently recover such that the Final Share Price
of
each Reference Stock is above its Initial Share Price minus its 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.
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|
·
|
YOUR
RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS ACCRUED
INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF EITHER REFERENCE
STOCK —
Unless (i) the Final Share Price of either Reference Stock is less
than
its Initial Share Price and (ii) on any day during the Monitoring
Period,
the closing price of either Reference Stock has declined, as compared
to
its Initial Share Price, by more than its Protection Amount, for
each
$1,000 principal amount note, you will receive $1,000 at maturity
plus
accrued and unpaid interest, regardless of any appreciation in the
value
of either Reference Stock, which may be significant. Accordingly,
the
return on the notes may be significantly less than the return on
a direct
investment in either or both of the Reference Stocks during the term
of
the notes.
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|
·
|
YOU
ARE EXPOSED TO THE CLOSING PRICE RISK OF EACH REFERENCE
STOCK —
Your
return on the notes and your payment at maturity, if any, is not
linked to
a basket consisting of the Reference Stocks. Rather, you will receive
set
interest payments at a rate of not less than 6.30% (equivalent to
12.60%
per annum) during the term of the notes and your payment at maturity
is
contingent upon the performance of each individual Reference Stock
such
that you will be equally exposed to the risks related to both
of the
Reference Stocks. Poor performance by either one of the Reference
Stocks
over the term of the notes may negatively affect your payment at
maturity
and will not be offset or mitigated by positive performance by the
other
Reference Stock.
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|
·
|
YOUR
PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING REFERENCE
STOCK — If
a Trigger
Event occurs, you will lose some or all of your investment in the
notes if
the Final Share Price of either Reference Stock is below its Initial
Share
Price. This will be true even if (i) the Final Share Price of the
other
Reference Stock has appreciated in value compared to its Initial
Share
Price and/or (ii) the Reference Stock with a Final Share Price that
declined compared to its Initial Share Price was not the same Reference
Stock which declined by more than its Protection Amount during the
Monitoring Period.
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|
·
|
NO
OWNERSHIP RIGHTS IN THE REFERENCE STOCKS —
As
a
holder of the notes, you will not have any ownership interest or
rights in
the Reference Stocks, such as voting rights, dividend payments or
other
distributions. In addition, the issuers of the Reference Stocks 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 a 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.
68-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.
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|
·
|
THE
REFERENCE STOCKS MAY CHANGE FOLLOWING CERTAIN CORPORATE EVENTS —
Following
certain corporate events relating to an issuer of a Reference Stock,
such
as a takeover or a going private transaction, the calculation agent
will
have the option to replace such Reference Stock with the common stock
of a
company from among the common stocks of three companies then registered
to
trade on the New York Stock Exchange or The NASDAQ Stock Market that
have
the three largest market capitalizations with the same Standard Industrial
Classification Code as the issuer of that Reference Stock. We describe
the
specific corporate events that can lead to these adjustments and
the
procedures for selecting a successor Reference Stock under “General Terms
of Notes — Anti-dilution Adjustments — Reorganization Events” in
the accompanying product supplement no.
68-I.
|
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the Least Performing Common Stock of Caterpillar
Inc. and Archer-Daniels-Midland Company
TS-2
|
·
|
CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES
PRIOR
TO MATURITY —
While the
payment at maturity, if any, 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 referred to
under “Many Economic and Market Factors Will Impact the Value of the
Notes” below.
|
The
notes are not
designed to be short-term trading instruments. Accordingly, you should be able
and willing to hold your notes to maturity.
|
·
|
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.
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|
·
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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, the
Reference Stock issuers or providing advisory services to the Reference
Stock issuers. In the course of this business, we or our affiliates
may
acquire non-public information about the issuers of the Reference
Stocks
or the Reference Stocks, and we will not disclose any such information
to
you. In addition, one or more of our affiliates may publish research
reports or otherwise express opinions with respect to either or both
of
the Reference Stock issuers, and these reports may or may not recommend
that investors buy or hold the Reference Stocks. As a prospective
purchaser of a note, you should undertake an independent investigation
of
the Reference Stock issuers 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 STOCKS —
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 either or both of the Reference Stocks.
We or
our affiliates may also trade in the Reference Stocks or instruments
related to either or both of the Reference Stocks 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 Reference Stocks 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. 68-I.
|
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the Least Performing Common Stock of Caterpillar
Inc. and Archer-Daniels-Midland Company
TS-3
Examples
of Hypothetical Payment at Maturity for Each $1,000 Principal Amount
Note
The
following table
illustrates hypothetical payments at maturity on a $1,000 investment in the
notes, based on a range of hypothetical Final Share Prices for the Least
Performing Reference Stock and assuming that the closing price of each Reference
Stock did not decline, as compared to its respective Initial Share Price, by
more than its respective Protection Amount on any day from the Pricing Date
to
and including the Observation Date, except as indicated in the column titled
“Hypothetical lowest closing price of the common stock of Caterpillar Inc.
during the Monitoring Period.” The
following table assumes that the Least Performing Reference Stock will be the
common stock of Caterpillar Inc. and that the common stock of Caterpillar Inc.
will be the Least Performing Reference Stock at all times during the term of
the
notes. We make no representation or warranty as to which of the Reference Stocks
will be the Least Performing Reference Stock for the purposes of calculating
your actual payment at maturity. In
addition, you
may receive shares of a Reference Stock at maturity that never experiences
a
decline from its Initial Share Price in excess of the Protection Amount during
the Monitoring Period. The numbers appearing in the following table and examples
have been rounded for ease of analysis. For more information see “Selected
Purchase Considerations — Your Return at Maturity May Be Based on a
Reference Stock That Did Not Experience a Decline in Excess of Its Protection
Amount During the Monitoring Period.”
For
this table of
hypothetical payments at maturity, we have also assumed the
following:
|
·
|
the
Initial
Share Price:
|
$78.00
|
●
the
Protection Amount: $23.40
|
|
·
|
the
Interest
Rate:
|
6.30%
(equivalent to 12.60% per annum)
|
|
Hypothetical
lowest closing price of the common stock of Caterpillar Inc. during
the
Monitoring Period
|
Hypothetical
Final Share Price of the Least Performing Reference Stock (Caterpillar
Inc.)
|
Payment
at Maturity
|
Total
Value of Payment Received at Maturity*
|
|
$78.00
|
$156.00
|
$1,000.00
|
$1,000.00
|
|
$78.00
|
$81.90
|
$1,000.00
|
$1,000.00
|
|
$78.00
|
$78.00
|
$1,000.00
|
$1,000.00
|
|
$54.60
|
$54.60
|
$1,000.00
|
$1,000.00
|
|
$39.00
|
$81.90
|
$1,000.00
|
$1,000.00
|
|
$39.00
|
$74.10
|
12
shares of
Caterpillar
Inc. common stock or the Cash Value thereof
|
$950.00
|
|
$39.00
|
$39.00
|
12
shares of
Caterpillar Inc. common stock or the Cash Value thereof
|
$500.00
|
|
$19.50
|
$19.50
|
12
shares of
Caterpillar Inc. common stock or the Cash Value thereof
|
$250.00
|
|
$0.00
|
$0.00
|
12
shares of
Caterpillar Inc. common stock or the Cash Value thereof
|
$0.00
|
|
*
|
Note
that you
will receive at maturity any accrued and unpaid interest in cash,
in
addition to either shares of the Least Performing 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:
During
the
Monitoring Period, neither of the Reference Stocks close at a price which
reflects a decline of more than its Protection Amount. Because Caterpillar
Inc.
is the Least Performing Reference Stock and because its Final Share Price of
$156.00 exceeds its Initial Share Price of $78.00, you will receive a payment
at
maturity of $1,000 per $1,000 principal amount note.
Example
2:
During the
Monitoring Period, Caterpillar Inc. was the first Reference Stock to close
at a
level below its Initial Share Price minus the Protection Amount. On the
Observation Date, Caterpillar Inc., still the Least Performing Reference Stock,
recovers to a Final Share Price of $81.90. Because the Final Share Price of
the
Least Performing Reference Stock is above its Initial Share Price, you will
receive $1,000 per $1,000 principal amount note at maturity even though a
Trigger Event occurred.
Example
3:
During
the
Monitoring Period, Caterpillar Inc. was the first Reference Stock to close
at a
level below its Initial Share Price minus the Protection Amount. On the
Observation Date, Caterpillar Inc., still the Least Performing Reference Stock,
recovers to a Final Share Price of $74.10. Because at least one of the Reference
Stocks had a closing price that had declined from its Initial Share Price by
more than its Protection Amount, and because the Final Share Price of the Least
Performing Reference Stock is less than its Initial Share Price, you will
receive the Physical Delivery Amount of the Least Performing Reference Stock,
or, at our election, the Cash Value thereof, at maturity. Because the Final
Share Price of the Least Performing Reference Stock is $74.10, the total value
of your final payment at maturity, whether in cash or shares of the Least
Performing Reference Stock, is $950.00.
Example
4:
During
the
Monitoring Period, Caterpillar Inc. was the first Reference Stock to close
at a
level below its Initial Share Price minus the Protection Amount. On the
Observation Date, Caterpillar Inc., still the Least Performing Reference Stock,
declines further to a Final Share Price of $19.50. Because at least one of
the
Reference Stocks had a closing price that had declined from its Initial Share
Price by more than its Protection Amount, and because the Final Share Price
of
the Least Performing Reference Stock is less than its Initial Share Price,
you
will receive the Physical Delivery Amount of the Least Performing Reference
Stock, or, at our election, the Cash Value thereof, at maturity. Because the
Final Share Price of the Least Performing Reference Stock is $19.50, the total
value of your final payment at maturity, whether in cash or shares of the Least
Performing Reference Stock, is $250.00.
Regardless
of the
performance of the Least Performing 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 $63.00 over the term
of
the notes. If we priced the notes on April 8, 2008, you would have received
12
shares of Caterpillar Inc. common stock or, at our election, the Cash Value
thereof, at maturity, assuming that Caterpillar Inc. common stock was the Least
Performing Reference Stock and provided that Caterpillar Inc. common stock’s
Final Share Price declined from its Initial Share Price and the closing price
of
at least one Reference Stock declined by more than 30%, as compared to its
Initial Share Price on at least one day during the Monitoring Period. The actual
number of shares of each Reference Stock or the Cash Value thereof you may
receive at maturity and the actual Protection Amount of each Reference Stock
may
be more or less than the amounts displayed in the hypothetical examples and
the
chart above and will depend in part on the closing price of each Reference
Stock
on the Pricing Date.
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the Least Performing Common Stock of Caterpillar
Inc. and Archer-Daniels-Midland Company
TS-4
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. The Reference Stocks may be modified in the case of certain corporate
events. See “The Reference Stocks” beginning on page PS-14 of the accompanying
product supplement no. 68-I for more information.
Initial
Share Prices, Protection Amounts and Physical Delivery
Amounts
The
table below
sets forth the two issuers of the Reference Stocks, as well as the ticker symbol
for each Reference Stock and the U.S. exchange on which each Reference Stock
is
listed. See “General Terms of Notes — Anti-dilution
Adjustments.”
The
table below
indicates the Initial Share Price, Protection Amount and Physical Delivery
Amount for each Reference Stock, in each case subject to adjustments. The
Initial Share Price, Protection Amount and Physical Delivery Amount for each
Reference Stock will be determined on the Pricing Date.
|
Ticker
Symbol
|
Issuer
|
Exchange
|
Initial
Share Price
|
Protection
Amount
|
Physical
Delivery
Amount
|
|
CAT
|
Caterpillar
Inc.
|
NYSE
|
|||
|
ADM
|
Archer-Daniels-Midland
Company
|
NYSE
|
Historical
Information of the Reference Stocks
The
graphs
contained in this term sheet set forth the historical performance of each
Reference Stock based on the weekly closing price (in U.S. dollars) of that
Reference Stock from January 3, 2003 through April 4, 2008. We obtained the
closing prices and other market information in this term sheet 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
the
commencement of trading of each Reference Stock, the price of such Reference
Stock has experienced significant fluctuations. The historical performance
of
each Reference Stock should not be taken as an indication of future performance,
and no assurance can be given as to the closing prices of each Reference Stock
during the term of the notes. We cannot give you assurance that the performance
of each Reference Stock will result in the return of any of your initial
investment. We make no representation as to the amount of dividends, if any,
that each Reference Stock issuer 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 each Reference Stock.
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the Least Performing Common Stock of Caterpillar
Inc. and Archer-Daniels-Midland Company
TS-5
Caterpillar
Inc. (“Caterpillar”)
According
to its
publicly available filings with the SEC, Caterpillar manufactures, sells and
services construction, mining and forestry machinery, and engines for
Caterpillar machinery and other applications, and provides related financial
services. The
common
stock of Caterpillar, par value $1.00 per share, is listed on the New York
Stock
Exchange, which we refer to as the Relevant Exchange for purposes of Caterpillar
in the accompanying product supplement no. 68-I. Caterpillar’s SEC file number
is 001-00768.
Historical
Information of the Common Stock of Caterpillar
The
following graph
sets forth the historical performance of the common stock of Caterpillar based
on the weekly closing price (in U.S. dollars) of the common stock of Caterpillar
from January 3, 2003 through April 4, 2008. The closing price of the common
stock of Caterpillar on April 8, 2008 was $77.59.
Archer-Daniels-Midland
Company (“Archer-Daniels-Midland”)
According
to its publicly available filings with the SEC, Archer-Daniels-Midland is
principally engaged in procuring, transporting, storing, processing and
merchandising agricultural commodities and products. The common
stock of
Archer-Daniels-Midland,
no par value,
is listed on the
New York Stock Exchange, which we refer to as the Relevant Exchange for purposes
of Archer-Daniels-Midland
in the
accompanying product supplement no. 68-I. Archer-Daniels-Midland’s
SEC file number
is 001-00044.
Historical
Information of the Common Stock of Archer-Daniels-Midland
Company
The
following graph
sets forth the historical performance of the common stock of Archer-Daniels-Midland
based on the
weekly closing price (in U.S. dollars) of the common stock of Archer-Daniels-Midland
from January 3,
2003 through April 4, 2008. The closing price of the common stock of
Archer-Daniels-Midland on
April 8, 2008
was $43.23.
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the Least Performing Common Stock of Caterpillar
Inc. and Archer-Daniels-Midland Company
TS-6