Term
sheet
To
prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and product supplement no. 68-I dated February 7, 2007 |
Term
Sheet to
Product
Supplement No. 68-I
Registration
Statement No. 333-130051
Dated
April 9, 2008; Rule 433
|
Structured
Investments |
JPMorgan
Chase & Co.
$ 7.80%†
(equivalent to 15.60%† 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 7.80% (equivalent to 15.60% per
annum)
|
· |
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.
|
·
|
The
notes
will pay at least 7.80%†
(equivalent
to 15.60%†
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.
|
· |
Senior
unsecured obligations of JPMorgan Chase & Co. maturing October 22,
2008††.
|
·
|
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.
|
·
|
Minimum
denominations of $1,000 and integral multiples
thereof.
|
Reference
Stocks:
|
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.
|
Interest
Rate:
|
At
least 7.80% (equivalent to 15.60% 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 7.80%
(equivalent
to 15.60% per annum).
|
Protection
Amount:
|
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.
|
Maturity
Date:
|
October
22,
2008††
|
Pricing
Date:
|
On
or about
April 17, 2008
|
Settlement
Date:
|
On
or about
April 22, 2008
|
Observation
Date:
|
October
16,
2008††
|
CUSIP:
|
48123MR20
|
Interest
Payment Date:
|
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.
|
Payment
at
Maturity:
|
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.
|
Trigger
Event:
|
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.
|
Least
Performing Reference Stock:
|
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.”
|
Monitoring
Period:
|
The
period
from the Pricing Date to and including the Observation Date.
|
Physical
Delivery Amount:
|
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.
|
Initial
Share
Price:
|
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.
|
Final
Share
Price:
|
For
each
Reference Stock, the closing price of such Reference Stock on
the
Observation Date.
|
†† |
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.
|
Price
to Public
|
Fees
and Commissions (1)
|
Proceeds
to Us
|
|
Per
note
|
$
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) |
If
the notes
priced today, J.P. Morgan Securities Inc., which we refer to
as JPMSI,
acting as agent for JPMorgan Chase & Co., would receive a commission
of approximately $20.00 per $1,000 principal amount note
and may use a portion of that commission to allow selling concessions
to
other dealers of approximately $2.00 per $1,000 principal amount
note.
The
other
dealers may forgo, in their sole discretion, some or all of
their selling
concessions. The
actual commission received by JPMSI may be more or less than
$20.00 and
will depend on market conditions on the Pricing Date.
In no event
will the commission received by JPMSI, which includes concessions
that may
be paid to other dealers, exceed $40.00 per $1,000 principal
amount note.
See “Underwriting” beginning on page PS-28 of the accompanying product
supplement no. 68-I.
|
· |
Product
supplement no. 68-I dated February 7,
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 at least 7.80% (equivalent to 15.60% 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 7.80% (equivalent
to 15.60% 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.
|
·
|
MONTHLY
INTEREST PAYMENTS — The
notes offer monthly interest payments at a rate of at least
7.80%
(equivalent to 15.60% 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.
|
·
|
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.
|
·
|
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.
|
· |
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 16.73% 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.
|
·
|
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.
|
·
|
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.
|
·
|
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.
|
·
|
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 7.80% (equivalent
to 15.60%
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 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.
|
·
|
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.
|
·
|
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.
|
· |
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.
|
· |
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.
|
·
|
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, 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.
|
·
the
Initial
Share Price:
|
$78.00 |
●
the
Protection Amount:
|
$23.40
|
·
the
Interest
Rate:
|
7.80% (equivalent to 15.60% 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.
|
Ticker
Symbol
|
Issuer
|
Exchange
|
Initial
Share Price
|
Protection
Amount
|
Physical
Delivery Amount
|
CAT
|
Caterpillar
Inc.
|
NYSE
|
|||
ADM
|
Archer-Daniels-Midland
Company
|
NYSE
|