Term
sheet
To
prospectus dated December 1, 2005,
prospectus supplement dated December 1, 2005 and product supplement no. 7-I dated December 30, 2005 |
Term
Sheet No. 17 to
Product
Supplement No. 7-I
Registration
Statement No. 333-130051
Dated February 19, 2008; Rule 433 |
Structured
Investments |
JPMorgan
Chase & Co.
$ Buffered Return Enhanced Notes Linked to the Russell 2000® Index due March 8, 2009 |
·
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The
notes are
designed for investors who seek a return of two times the appreciation
of
the Russell 2000® Index
up to a
maximum total return on the notes of 19.50%* at maturity. Investors
should
be willing to forgo interest and dividend payments and, if the
Index
declines by more than 10%, be willing to lose some or all of their
principal.
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·
|
Senior
unsecured obligations of JPMorgan Chase & Co. maturing March 8,
2009†.
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·
|
Minimum
denominations of $20,000 and integral multiples of $1,000 in excess
thereof.
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·
|
The
notes are
expected to price on or about February 22, 2008††
and are
expected to settle on or about February 27,
2008.
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Index:
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The
Russell 2000® Index
(the “Index”)
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Upside
Leverage Factor:
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2
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Payment
at
Maturity:
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If
the Ending
Index Level is greater than the Initial Index Level, you will
receive a
cash payment that provides you with a return per $1,000 principal
amount
note equal to the Index Return multiplied by two, subject to
a Maximum
Total Return on the notes of
19.50%*. For example, if the Index Return is more than 9.75%, you will receive the Maximum Total Return on the notes of 19.50%*, which entitles you to a maximum payment at maturity of $1,195 for every $1,000 principal amount note that you hold. Accordingly, if the Index Return is positive, your payment per $1,000 principal amount note will be calculated as follows, subject to the Maximum Total Return: |
$1,000
+[$1,000 x (Index Return x 2)]
*The
actual
Maximum Total Return on the notes will be set on the pricing
date and will
not be less than 19.50%.
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|
Your
principal is protected against up to a 10% decline of the Index
at
maturity. If the Ending Index Level declines from the Initial
Index Level
by up to 10%, you will receive the principal amount of your notes
at
maturity.
If
the Ending
Index Level declines from the Initial Index Level by more than
10%, you
will lose 1.1111% of the principal amount of your notes for every
1% that
the Index declines beyond 10% and your final payment per $1,000
principal
amount note will be calculated as follows:
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|
$1,000
+
[$1,000 x (Index Return + 10%) x 1.1111]
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|
You
will
lose some or all of your investment at maturity if the Ending
Index Level
declines from the Initial Index Level by more than 10%.
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|
Buffer
Amount:
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10%
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Downside
Leverage Factor:
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1.1111
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Index
Return:
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The
performance of the Index from the Initial Index Level to the
Ending Index
Level, calculated as follows:
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Ending
Index Level - Initial Index Level
Initial
Index
Level
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Initial
Index
Level:
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The
Index
closing level on the pricing date.
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Ending
Index
Level:
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The
arithmetic average of the Index closing levels on each of the
five
Averaging Dates.
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Averaging
Dates†:
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February
25,
2009, February 26, 2009, February 27, 2009, March 2, 2009 and
March 3,
2009
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Maturity
Date†:
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March
8,
2009
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CUSIP:
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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. 7-I.
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††
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The
pricing
of the notes is subject to our special tax counsel delivering
to us their
opinion as described under “Selected Purchase Considerations — Capital
Gains Tax Treatment.”
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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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$
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Total
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$
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$
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$
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(1) |
Please
see
“Supplemental Underwriting Information” in this term sheet for information
about fees and commissions.
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· |
Product
supplement no. 7-I dated December 30, 2005:
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· |
Prospectus
supplement dated December 1, 2005:
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· |
Prospectus
dated December 1, 2005:
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Ending
Index Level
|
Index
Return
|
Total
Return
|
1260.00
|
80.00%
|
19.50%
|
1155.00
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65.00%
|
19.50%
|
1050.00
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50.00%
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19.50%
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980.00
|
40.00%
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19.50%
|
910.00
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30.00%
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19.50%
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840.00
|
20.00%
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19.50%
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805.00
|
15.00%
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19.50%
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770.00
|
10.00%
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19.50%
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768.25
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9.75%
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19.50%
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735.00
|
5.00%
|
10.00%
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717.50
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2.50%
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5.00%
|
707.00
|
1.00%
|
2.00%
|
700.00
|
0.00%
|
0.00%
|
665.00
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-5.00%
|
0.00%
|
630.00
|
-10.00%
|
0.00%
|
560.00
|
-20.00%
|
-11.11%
|
490.00
|
-30.00%
|
-22.22%
|
420.00
|
-40.00%
|
-33.33%
|
350.00
|
-50.00%
|
-44.44%
|
280.00
|
-60.00%
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-55.56%
|
210.00
|
-70.00%
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-66.67%
|
140.00
|
-80.00%
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-77.78%
|
70.00
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-90.00%
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-88.89%
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0.00
|
-100.00%
|
-100.00%
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· |
APPRECIATION
POTENTIAL —
The
notes
provide the opportunity to enhance equity returns by multiplying
a
positive Index Return by two, up to the Maximum Total Return
on the notes
of 19.50%, or $1,195 for every $1,000 principal amount note.
The actual
Maximum Total Return on the notes will be set on the pricing
date and will
not be less than 19.50%. Because the notes are our senior unsecured
obligations, payment of any amount at maturity is subject to
our ability
to pay our obligations as they become due.
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· |
LIMITED
PROTECTION AGAINST LOSS —
Payment
at
maturity of the principal amount of the notes is protected against
a
decline in the Ending Index Level, as compared to the Initial
Index Level,
of up to 10%. If the Ending Index Level declines by more than
10%, for
every 1% decline of the Index beyond 10%, you will lose an amount
equal to
1.1111% of the principal amount of your notes.
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· |
DIVERSIFICATION
OF THE RUSSELL 2000®
INDEX — The
return on
the notes is linked to the performance of the Russell 2000®
Index. The
Russell 2000®
Index
consists of the middle 2,000 companies included in the Russell
3000ETM
Index and,
as a result of the index calculation methodology, consists of
the smallest
2,000 companies included in the Russell 3000®
Index. The
Russell 2000®
Index is
designed to track the performance of the small capitalization
segment of
the U.S. equity market. See “The Russell 2000®
Index” in
the accompanying product supplement no. 7-I and “Supplemental Information
About The Russell 2000®
Index”
above.
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· |
CAPITAL
GAINS TAX TREATMENT — You
should review carefully the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 7-I. The
pricing of the notes is subject to delivery of an opinion of
our special
tax counsel, Davis Polk & Wardwell, that it is reasonable to treat
your purchase and ownership of the notes as an “open transaction” for U.S.
federal income tax purposes. The opinion will be subject to the
limitations described in the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 7-I and will
be based on
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· |
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes
do not guarantee any return of principal. The return on the notes
at
maturity is linked to the performance of the Index and will depend
on
whether, and the extent to which, the Index Return is positive
or
negative. Your investment will be exposed on a leveraged basis
to any
decline in the Ending Index Level beyond the 10% buffer as compared
to the
Initial Index Level.
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· |
YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL
RETURN —
If
the
Ending Index Level is greater than the Initial Index Level, for
each
$1,000 principal amount note, you will receive at maturity $1,000
plus an
additional amount that will not exceed a predetermined percentage
of the
principal amount, regardless of the appreciation in the Index,
which may
be significant. We refer to this percentage as the Maximum Total
Return,
which will be set on the pricing date and will not be less than
19.50%.
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· |
CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE
NOTES PRIOR
TO MATURITY —
While
the
payment at maturity 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 cost of hedging our obligations
under the notes through one or more of our affiliates. As a result,
the
price, if any, at which J.P. Morgan Securities Inc., which we
refer to as
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. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing
to hold
your notes to maturity.
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· |
NO
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS —
As
a holder
of the notes, you will not receive interest payments, and you
will not
have voting rights or rights to receive cash dividends or other
distributions or other rights that holders of securities composing
the
Index would have.
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· |
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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· |
POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the issuance
of the
notes, including acting as calculation agent and hedging our
obligations
under the notes. 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.
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· |
MANY
ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE
NOTES —
In
addition
to the level of the Index on any 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, including:
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·
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the
expected
volatility of the Index;
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·
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the
time to
maturity of the notes;
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·
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the
dividend
rate on the common stocks underlying the
Index;
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·
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interest
and
yield rates in the market
generally;
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·
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a
variety of
economic, financial, political, regulatory or judicial events;
and
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·
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our
creditworthiness, including actual or anticipated downgrades
in our credit
ratings.
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· |
THE
OFFERING OF THE NOTES MAY BE TERMINATED BEFORE PRICING
—
This
term
sheet has not been reviewed by our special tax counsel, Davis
Polk &
Wardwell, and the pricing of the offering of the notes is subject
to
delivery by them of an opinion regarding the tax treatment
of the notes as
described under “Selected Purchase Considerations — Capital Gains Tax
Treatment” above. If our special tax counsel does not deliver this opinion
prior to pricing, the offering of the notes will be
terminated.
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