Term sheet
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Term Sheet No. 2 to
Product Supplement No. 49-III Registration Statement No. 333-130051 Dated January 9, 2008; Rule 433 |
Structured |
JPMorgan
Chase & Co. |
General
Key Terms
Basket: | An equally weighted basket of four currencies (each a Basket Currency, and together, the Basket Currencies) that measures the performance of the Basket Currencies relative to the U.S. dollar (the Basket). | ||||
Basket Currency Weights: | The following table sets forth the Basket Currencies, the Starting Spot Rate for each Basket Currency, the applicable Reuters Page and the weighting of each Basket Currency: | ||||
Basket Currency | Starting Spot Rate | Reuters Page | Percentage Weight of Basket | ||
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Brazilian Real (BRL) | BRFR | 25% | |||
Indian Rupee (INR) | RBIB | 25% | |||
Mexican Peso (MXN) | WMRSPOT10 | 25% | |||
New Turkish Lira (TRY) | ECB37=(TRY/EUR)/(USD/EUR) | 25% | |||
The Starting Spot Rate for each Basket Currency will be determined by the calculation agent in good faith and in a commercially reasonable manner at approximately 11:00 a.m., New York City time, on the pricing date taking into account the quotient of one divided by either applicable intra-day trades or the rates displayed on the applicable Reuters page. For information about the risks related to this discretion, see Selected Risk Considerations Potential Conflicts on page TS-2 of this term sheet. | |||||
Reference Currency: | The U.S. dollar | ||||
Payment at Maturity: | At maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which may be zero. | ||||
Additional Amount: | The Additional Amount per $1,000 principal amount note paid at maturity will equal $1,000 x the Basket Return x the Participation Rate; provided that the Additional Amount will not be less than zero. | ||||
Participation Rate: | At least 200%. The actual Participation Rate will be determined on the pricing date and will not be less than 200%. | ||||
Basket Return: |
Ending
Basket Level Starting Basket Level Starting Basket Level |
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Starting Basket Level: | Set equal to 100 on the pricing date, which is expected to be on or about February 15, 2008. | ||||
Ending Basket Level: | The Basket Closing Level on the Observation Date. | ||||
Basket Closing Level: |
The Basket Closing Level on the
Observation Date will be calculated as follows: |
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Observation Date: | February 12, 2010* | ||||
Maturity Date: | February 18, 2010* | ||||
CUSIP: | 48123MPB2 | ||||
* | Subject to postponement as described under Description of Notes Payment at Maturity in the accompanying product supplement no. 49-III. |
JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, each prospectus supplement, product supplement no. 49-III 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., which we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $39.70 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $5.00 per $1,000 principal amount note. The actual commission received by JPMSI may be more or less than $39.70 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 $50.00 per $1,000 principal amount note. See Underwriting beginning on page PS-27 of the accompanying product supplement no. 49-III. |
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
January 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. 49-III dated December 17, 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. 49-III, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us or our refers to JPMorgan Chase & Co.
Additional Key Terms
Selected Purchase Considerations
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Basket Currencies or any of contracts related to the Basket Currencies. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 49-III dated December 17, 2007.
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JPMorgan
Structured Investments
Principal Protected Notes Linked to the Performance of an Equally Weighted Basket of Four Currencies Relative to the U.S. Dollar |
TS-1 |
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JPMorgan
Structured Investments
Principal Protected Notes Linked to the Performance of an Equally Weighted Basket of Four Currencies Relative to the U.S. Dollar |
TS-2 |
What Is the Payment at Maturity on the Notes Assuming a Range of Performance for the Basket?
The table on the following page illustrates the payment at maturity (including, where relevant, the payment of the Additional Amount) for a $1,000 principal amount note for a hypothetical range of performance for the Basket Return from -80% to +80% and assumes a Participation Rate of 200%. The hypothetical payments at maturity (including, where relevant, the Additional Amount) set forth on the following page are for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the table and examples on the following page have been rounded for ease of analysis.
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Ending |
Basket |
Basket Return x |
Additional |
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Principal |
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Payment at |
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180 |
80% |
160.00% |
$1,600 |
+ |
$1,000 |
= |
$2,600 |
170 |
70% |
140.00% |
$1,400 |
+ |
$1,000 |
= |
$2,400 |
160 |
60% |
120.00% |
$1,200 |
+ |
$1,000 |
= |
$2,200 |
150 |
50% |
100.00% |
$1,000 |
+ |
$1,000 |
= |
$2,000 |
140 |
40% |
80.00% |
$800 |
+ |
$1,000 |
= |
$1,800 |
130 |
30% |
60.00% |
$600 |
+ |
$1,000 |
= |
$1,600 |
120 |
20% |
40.00% |
$400 |
+ |
$1,000 |
= |
$1,400 |
110 |
10% |
20.00% |
$200 |
+ |
$1,000 |
= |
$1,200 |
105 |
5% |
10.00% |
$100 |
+ |
$1,000 |
= |
$1,100 |
100 |
0% |
0.00% |
$0 |
+ |
$1,000 |
= |
$1,000 |
90 |
-10% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
80 |
-20% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
70 |
-30% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
60 |
-40% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
50 |
-50% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
40 |
-60% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
30 |
-70% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
20 |
-80% |
N/A |
$0 |
+ |
$1,000 |
= |
$1,000 |
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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 the
Starting Basket Level of 100 to an Ending Basket Level of 120.
Because the Ending Basket Level of 120
is greater than the Starting Basket Level of 100, the Additional Amount is
equal to $400 and the final payment at maturity is equal to $1,400 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 x [(120-100)/100] x 200%) = $1,400
Example 2: The level of the Basket decreases from the Starting Basket
Level of 100 to an Ending Basket Level of 60.
Because the
Ending Basket Level of 60 is lower than the Starting Basket Level of 100, the
final payment per $1,000 principal amount note at maturity is the principal
amount of $1,000.
Example 3: The level of the Basket increases from the Starting Basket
Level of 100 to an Ending Basket Level of 110.
Because the
Ending Basket Level of 110 is greater than the Starting Basket Level of 100,
the Additional Amount is equal to $200 and the final payment at maturity is
equal to $1,200 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x [(110-100)/100] x 200%) = $1,200
Historical Information
The first four graphs on the following page show the historical weekly performance of each Basket Currency expressed in terms of the conventional market quotation, as shown on Bloomberg Financial Markets, for each currency (in each case the amount of the applicable Basket Currency that can be exchanged for one U.S. dollar, which we refer to in this term sheet as the exchange rate) from January 3, 2003 through January 4, 2008. The exchange rates of the Brazilian Real, the Indian Rupee, the Mexican Peso and the New Turkish Lira, at approximately 11:00 a.m., New York City time, on January 8, 2008, were 1.7554, 39.27, 10.88000 and 1.1598, respectively.
The exchange rates displayed in the graphs on the following page are for illustrative purposes only and do not form part of the calculation of the Basket Return. The value of the Basket, and thus the Basket Return, increases when the individual Basket Currencies appreciate in value against the U.S. dollar. Therefore, the Basket Return is calculated using Spot Rates for each currency expressed as one divided by the amount of Basket Currency per one U.S. dollar, which is the inverse of the conventional market quotation for each Basket Currency set forth in the first four graphs on the following page.
The last graph on the following page shows the weekly performance of the Basket from January 3, 2003 through January 4, 2008, assuming that the Basket Closing Level on January 3, 2003 was 100, that each Basket Currency had a 1/4 weight in the Basket on that date and that the closing spot rates of each Basket Currency on the relevant dates were the Spot Rates on such dates. The closing spot rates and the historical weekly Basket performance data in such graph were determined by dividing one by the rates reported by Bloomberg Financial Markets and may not be indicative of the Basket performance using the Spot Rates of the Basket Currencies at approximately 6:00 p.m., New York City time (or, solely with respect to the Spot Rates on the pricing date, at approximately 11:00 a.m., New York City time, on such date), that would be derived from the applicable Reuters page.
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JPMorgan
Structured Investments
Principal Protected Notes Linked to the Performance of an Equally Weighted Basket of Four Currencies Relative to the U.S. Dollar |
TS-3 |
The Spot Rates of the Brazilian Real, the Indian Rupee, the Mexican Peso and the New Turkish Lira, at approximately 11:00 a.m., New York City time, on January 8, 2008, were 0.5697, 0.0255, 0.09191 and 0.8622, respectively, calculated in the manner set forth under Key Terms Basket Closing Level on the cover of this term sheet (except that the Spot Rates were determined at approximately 11:00 a.m., New York City time, instead of 6:00 p.m., New York City time).
We obtained the data needed to construct the graph which displays the weekly performance of the Basket from Bloomberg Financial Markets, and we obtained the exchange rates and the denominators used to calculate the Spot Rates from Reuters Group PLC. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets or Reuters Group PLC. The historical performance of each Basket Currency and the Basket should not be taken as an indication of future performance, and no assurance can be given as to the Spot Rate of any of the Basket Currencies on the Observation Date. We cannot give you assurance that the performance of the Basket will result in the return of more than the principal amount of your notes.
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JPMorgan
Structured Investments
Principal Protected Notes Linked to the Performance of an Equally Weighted Basket of Four Currencies Relative to the U.S. Dollar |
TS-4 |