Term sheet
To prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and
product supplement no. 102-I dated October 15, 2007
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Term Sheet No. 6 to
Product Supplement No. 102-I
Registration Statement No. 333-130051
Dated December 28, 2007; Rule 433
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Structured
Investments
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JPMorgan
Chase & Co.
$
Principal Protected Dual Directional Notes Linked
to a Weighted Basket Consisting of Three Commodities and Three Commodity Indices
due April 30, 2012 |
General
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Senior unsecured obligations of JPMorgan
Chase & Co. maturing April
30, 2012*.
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Cash payment at maturity of principal
plus the Additional Amount, as described below.
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The notes are designed for investors
who seek exposure to any appreciation or depreciation of a weighted diversified
basket of commodities and commodity indices composed of
Crude Oil, Aluminum, Copper, the S&P GSCI Precious Metals Index
Excess Return, the S&P GSCI Livestock Index Excess Return and the
S&P GSCI Agriculture Index Excess Return over the term
of the notes. Investors should be willing to forgo dividend payments while
seeking full principal protection plus a likely positive return at maturity.
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Minimum denominations of $1,000 and
integral multiples thereof.
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The notes are expected to price on or
about January 28, 2008 and are expected to settle on or
about January 31, 2008.
Key Terms
Basket:
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The notes are linked to a
weighted Basket consisting of WTI Crude Oil (Crude Oil, Bloomberg
symbol CL1), Primary Aluminum (Aluminum, Bloomberg symbol LOAHDY),
Copper Grade A (Copper, Bloomberg symbol LOCADY) (each a Basket
Commodity, and together, the Basket Commodities); the S&P
GSCI Precious Metals Index Excess Return
(S&P GSCI Precious Metals, Bloomberg
symbol SPGCPMP), the S&P GSCI
Livestock Index Excess Return (S&P GSCI Livestock ,
Bloomberg symbol SPGCLVP) and the S&P GSCI Agriculture
Index Excess Return (S&P GSCIAgriculture, Bloomberg
symbol SPGCAGP), (each a Basket Index, and together, the Basket Indices)
(each Basket Commodity and each Basket Index, a Basket Component, and
together, the Basket Components).
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Component Weightings:
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The Crude Oil Weighting is 35%, the
Aluminum Weighting is 15%, the Copper Weighting is 15%, the Precious Metals Weighting is 15% , the
Livestock Weighting is 10% and the Agriculture Weighting is 10 % (each a Component
Weighting, and collectively, the Component Weightings).
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Payment at Maturity:
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At maturity, you will receive a cash
payment, for each $1,000 principal amount note, of $1,000 plus the Additional
Amount.
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Additional Amount:
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The Additional Amount per $1,000 principal
amount note paid at maturity will equal:
(i) If the Ending Basket Level is greater
than the Starting Basket Level, $1,000 x the Basket Return x the Upside
Participation Rate; or
(ii) If the Ending Basket Level is equal
to or less than the Starting Basket Level, $1,000 x the Absolute Basket
Return x the Downside Participation Rate.
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Upside Participation Rate:
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The Upside Participation Rate will be
determined on the pricing date and will not be less than 125% or greater than
135%.
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Downside Participation Rate:
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At least 30%. The actual Downside
Participation Rate will be determined on the pricing date and will not be
less than 30%.
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Basket Return:
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Ending Basket Level Starting Basket Level
Starting Basket Level
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Absolute Basket Return:
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Absolute value of the Basket Return. For
example, if the Basket Return is -15%, the Absolute Basket Return will be
15%.
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Starting Basket Level:
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Set equal to 100 on the pricing date,
which is expected to be on or about January 28, 2008.
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Ending Basket Level:
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The Basket Closing Level on the
Observation Date.
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Basket Closing Level:
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The Basket Closing Level will be
calculated as follows:
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100 x [1 + (Crude Oil Return * Crude Oil
Weighting) + (Aluminum Return * Aluminum Weighting) + (Copper Return * Copper
Weighting) + (Precious Metals Return * Precious Metals Weighting) + (Livestock Return * Livestock
Weighting) + (Agriculture Return * Agriculture Weighting)]
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The returns set forth in the formula above
reflect the performance of each Basket Component from the relevant settlement
price or closing level on the pricing date to the relevant settlement price
or closing level on the Observation Date. For more information on the
calculation of the returns for the Basket Components, see Selected Purchase
Considerations Component Returns in this term sheet.
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Observation Date:
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April 25, 2012*
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Maturity Date:
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April 30, 2012*
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CUSIP:
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48123MMN9
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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. 102-I.
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Investing in the Principal Protected
Dual Directional Notes involves a number of risks. See Risk Factors
beginning on page PS-15 of the accompanying product supplement no. 102-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 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. 102-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 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
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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)
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If the
notes priced today and assuming the Upside Participation Rate is 130%, J.P.
Morgan Securities Inc., which we refer to as JPMSI, acting as agent for
JPMorgan Chase & Co., would receive a commission of approximately $28.00
per $1,000 principal amount note and may use a portion of that commission to pay
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 $28.00 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 allowed to other dealers,
exceed $40.00 per $1,000 principal amount note. See
Underwriting beginning on page PS-62 of the accompanying product supplement
no. 102-I.
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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
December 28, 2007
ADDITIONAL TERMS SPECIFIC TO THE
NOTES
You should read this term sheet
together with the prospectus dated December 1, 2005, as supplemented by the prospectus
supplement dated October
12, 2006 relating to
our Series E medium-term notes of which these notes are a part, and the more
detailed information contained in product supplement no. 102-I dated October 15, 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. 102-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):
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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PRESERVATION OF CAPITAL AT MATURITY You will receive at least 100% of
the principal amount of your notes if you hold the notes to maturity,
regardless of the performance of the Basket. 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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APPRECIATION POTENTIAL At maturity, in addition to your
principal, for each $1,000 principal amount note you will receive a payment
equal to either (1) if the Ending Basket Level is greater than the Starting
Basket Level, $1,000 x the Basket Return x the Upside Participation Rate
or (2) if the Ending Basket Level is equal to or less than the Starting Basket
Level, $1,000 x the Absolute Basket Return x the Downside Participation Rate.
The Upside Participation Rate will be determined on the
pricing date and will not be less than 125% or greater than 135%.
The Downside Participation Rate will
be determined on the pricing date and will not be less than 30%.
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POTENTIAL FOR A POSITIVE RETURN AT
MATURITY EVEN IF THE BASKET RETURN IS NEGATIVE If the Ending Basket Level is less
than the Starting Basket Level, then the Additional Amount will be calculated
based on the Absolute Basket Return, which will always be a positive number.
For example, if the Basket Return is -15%, the Absolute Basket Return will be
15%. Under these circumstances you will receive more than the principal amount
of your notes at maturity, even though the Basket Return is negative.
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BASKET COMPONENT RETURNS The Crude Oil Return reflects the
performance of Crude Oil, expressed as a percentage, from the official U.S.
dollar cash buyer settlement price per barrel of the first nearby WTI light
sweet crude oil futures contract quoted by the New York Mercantile Exchange
(the NYMEX) on the pricing date to the official U.S. dollar cash buyer
settlement price per barrel of the first nearby WTI light sweet crude oil
futures contract quoted by the NYMEX on the Observation Date. Each of the
Aluminum Return and the Copper Return reflects the performance of the relevant
Basket Commodity, expressed as a percentage, from the official U.S. dollar cash
buyer settlement price per metric ton quoted by the London Metal Exchange (the
LME) on the pricing date for such Basket Commodity to the official U.S.
dollar cash buyer settlement price per metric ton quoted by the LME for such
Basket Commodity on the Observation Date. Each of the Precious Metals Return,
Livestock Return and Agriculture Return reflects the performance of the S&P
GSCI Precious Metals Index Excess Return, the S&P GSCI Livestock Index
Excess Return and the S&P GSCI Agriculture Index Excess Return,
respectively, expressed as a percentage, from the closing level of the relevant
Basket Index on the pricing date to the closing level of such Basket Index on
the Observation Date. For additional information, see Description of Notes
Payment at Maturity in the accompanying product supplement no. 102-I.
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DIVERSIFICATION OF THE BASKET COMPONENTS Because Crude Oil makes up 35% of
the Basket, we expect that generally the market value of your notes and your
payment at maturity will depend significantly on the performance of Crude Oil.
The return on the notes is linked to a weighted basket consisting of three
commoditiesAluminum and Copper, which are traded on the LME, and Crude Oil,
which is traded on NYMEXand three commodity indicesthe S&P GSCI Precious
Metals Index Excess Return, the S&P GSCI Livestock Index Excess Return and
the S&P GSCI Agriculture Index Excess Return. The value of the Basket is
based on the Component Returns described above. Each of the Basket Indices is
a sub-index of the S&P GSCI, a composite index of commodity
sector returns, calculated, maintained and published daily by Standard &
Poors, a division of The McGraw-Hill Companies (S&P). The S&P GSCI is a world
production-weighted index that is designed to reflect the relative significance
of principal non-financial commodities (i.e., physical commodities) in
the world economy. The S&P GSCI represents the return of a portfolio of
the futures contracts for the underlying commodities. The S&P GSCI
Precious Metals Index Excess Return represents the precious metals commodity
components of the S&P GSCI, including Gold and Silver. The S&P GSCI
Livestock Index Excess Return represents the livestock commodity components of
the S&P GSCI, including live cattle, feeder cattle and lean hogs, which
are non-storable commodities. The S&P GSCI Agriculture Index Excess
Return represents the agricultural commodity components of the S&P GSCI,
including Wheat (Chicago Wheat), Red Wheat (Kansas Wheat), Corn, Soybeans,
Cotton, Sugar, Coffee and Cocoa. For additional information about
each Basket Component, see the information set forth under The Basket
Components in the accompanying product supplement no. 102-I.
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JPMorgan
Structured Investments
Principal Protected Dual Directional Notes Linked to a Weighted Basket Consisting of Three Commodities and Three Commodity Indices
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TS-1 |
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TAXED AS CONTINGENT PAYMENT DEBT
INSTRUMENTS You
should review carefully the section entitled Certain U.S. Federal Income Tax
Consequences in the accompanying product supplement no. 102-I. Subject to the
limitations described therein, in the opinion of our special tax counsel, Davis
Polk & Wardwell, the notes will be treated for U.S. federal income tax purposes as contingent payment debt
instruments. You will generally be required to recognize interest income in
each year at the comparable yield, as determined by us, although we may not
make any payments with respect to the notes until maturity. Interest included
in income will increase your basis in the notes. Generally, amounts received
at maturity or earlier sale or disposition in excess of your basis will be
treated as additional interest income while any loss will be treated as an
ordinary loss to the extent of all previous inclusions with respect to the
notes, which will be deductible against other income (e.g., employment
and interest income), with the balance treated as capital loss, which may be
subject to limitations. Purchasers who are not initial purchasers of notes at
the issue price should consult their tax advisers with respect to the tax
consequences of an investment in the notes, including the treatment of the
difference, if any, between their basis in the notes and the notes adjusted
issue price.
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COMPARABLE YIELD AND PROJECTED
PAYMENT SCHEDULE We will determine the comparable yield for the notes and will provide that
comparable yield, and the related projected payment schedule, in the pricing
supplement for the notes, which we will file with the SEC. If the notes had
priced on December 27,
2007 and we had
determined the comparable yield on that date, it would have been an annual rate
of 5.04%, compounded semi-annually. The actual comparable yield that we will
determine for the notes may be more or less than 5.04%, and will depend upon a
variety of factors, including actual market conditions and our borrowing costs
for debt instruments of comparable maturities. Neither the comparable yield
nor the projected payment schedule constitutes a representation by us regarding
the actual amount, if any, that we will pay on the notes.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the
Basket, any of the Basket Components, any of the futures contracts underlying
the Basket Indices or any futures contracts on, exchange-traded or
over-the-counter instruments based on, or other instruments linked to, any of
the Basket Components for which there is an active secondary market. These
risks are explained in more detail in the Risk Factors section of the accompanying
product supplement no. 102-I dated October 15, 2007.
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MARKET RISK The return on the notes at maturity is linked to the
performance of the Basket, and will depend on whether and the extent to which
the Ending Basket Level is less than, equal to, or greater than the Starting
Basket Level. IF THE ENDING BASKET LEVEL IS EQUAL TO OR LESS THAN THE STARTING
BASKET LEVEL, YOU WILL RECEIVE AN ADDITIONAL AMOUNT THAT IS EQUAL ONLY TO 30%
OF THE ABSOLUTE BASKET RETURN.
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CHANGES IN THE VALUE OF THE BASKET COMPONENTS MAY OFFSET
EACH OTHER Price
movements in the Basket Components may not correlate with each other. At a
time when the value of one or more of the Basket Components increases, the
value of the other Basket Components may not increase as much or may even
decline in value. Therefore, in calculating the Ending Basket Level, increases
in the value of one or more of the Basket Components may be moderated, or more
than offset, by lesser increases or declines in the level of the other Basket
Components, particularly if the Basket Component or Components that appreciate
are of relatively low weight in the Basket. There can be no assurance that the
Ending Basket Level will be different from the Starting Basket Level. If the
Basket Return is flat, you will only receive the principal amount of your notes
at maturity.
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INVESTMENTS RELATED TO THE VALUE OF THE BASKET COMPONENTS
MAY BE MORE VOLATILE THAN TRADITIONAL SECURITIES INVESTMENTS The value of each Basket Components
is subject to variables that may be less significant to the values of traditional
securities such as stocks and bonds, and where the return on the securities is
not related to commodities or commodities futures contracts. Variables such as
changes in supply and demand relationships, governmental programs and policies,
national and international political and economic events, changes in interest
and exchange rates, trading activities in commodities and related contracts,
weather, trade, fiscal, monetary and exchange control policies may have a
larger impact on commodity prices and commodity-linked indices than on
traditional securities. These additional variables may create additional
investment risks that cause the value of the notes to be more volatile than the
values of traditional securities and may cause the levels of the Basket Components
to move in unpredictable and unanticipated directions and at unpredictable or
unanticipated rates.
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THE MARKET PRICE OF OIL WILL AFFECT THE
VALUE OF THE NOTES Because the Crude Oil futures contract makes up 35% of the
Basket, we expect that generally the market value of the notes will depend in
part on the market price of oil. Crude oil prices are generally more volatile
and subject to dislocation than prices of other commodities. Prices can change
rapidly due to crude oil supply disruptions stemming from world events, or
domestic problems such as refinery or pipeline outages. Crude oil prices are
determined with significant influence by the Organization of Petroleum
Exporting Countries (OPEC). OPEC has the potential to influence oil prices
worldwide because its members possess a significant portion of the worlds oil
supply.
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NO INTEREST PAYMENTS OR RIGHTS IN THE BASKET
COMMODITIES, OR THE COMMODITIES UPON WHICH THE FUTURES CONTRACTS THAT COMPOSE
THE BASKET INDICES ARE BASED OR CERTAIN OTHER COMMODITY-RELATED CONTRACTS As a holder of the notes, you will
not receive any interest payments, and you will not have any rights that owners
of the Basket Commodities or the commodities upon which the futures contracts
that compose the Basket Indices are based or holders of forward or futures
contracts on or other instruments linked to the Basket Commodities or such
commodities have. The return on your notes will not reflect the return
you would realize if you actually purchased the Basket Commodities or the
commodities upon which the futures contracts that compose the Basket Indices
are based, or exchange-traded or over-the-counter instruments based on any of
the Basket Components.
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JPMorgan
Structured Investments
Principal Protected Dual Directional Notes Linked to a Weighted Basket Consisting of Three Commodities and Three Commodity Indices
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TS-2 |
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HIGHER FUTURE PRICES OF COMMODITIES INCLUDED IN THE
BASKET INDICES RELATIVE TO THEIR CURRENT PRICES MAY LEAD TO A DECREASE IN THE
PAYMENT AT MATURITY OF THE NOTES As the contracts that underlie the Basket Indices come to
expiration, they are replaced by contracts that have a later expiration. For
example, a contract purchased and held in August may specify an October expiration.
As time passes, the contract expiring in October is replaced by a contract for
delivery in November. This is accomplished by selling the October contract and
purchasing the November contract. This process is referred to as rolling. Excluding
other considerations, if the market for these contracts is in backwardation,
where the prices are lower in the distant
delivery months than in the nearer delivery months, the sale of the October
contract would take place at a price that is higher than the price of the November
contract, thereby creating a roll yield. While many of the contracts
included in the Basket Indices have historically exhibited consistent periods
of backwardation, backwardation will most likely not exist at all times. Moreover,
some of the commodities reflected in the Basket Indices have historically
exhibited contango markets rather than backwardation. Contango markets are
those in which prices are higher in more distant delivery months than in nearer
delivery months. Commodities may also fluctuate between backwardation and
contango markets. The absence of backwardation in the commodity markets could
result in negative roll yields, which could adversely affect the value of the
Basket and, accordingly, the payment at maturity of the Notes.
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CHANGES IN THE COMPOSITION AND VALUATION OF THE S&P
GSCI MAY ADVERSELY AFFECT THE PAYMENT AT MATURITY AND/OR THE MARKET
VALUE OF THE NOTES
The composition of the S&P GSCI and its sub-indices (including the Basket
Indices) may change over time, as additional futures contracts satisfy the
eligibility criteria or futures contracts currently included in the S&P
GSCI fail to satisfy such criteria. The weighting factors applied
to each commodity included in the Basket Indices change annually, based on
changes in commodity production statistics. In addition, S&P, in
consultation with its Advisory Panel, may modify the methodology for determining
the composition and weighting of the Basket Indices and for calculating their
value in order to assure that the Basket Indices represent a measure of the
performance over time of the markets for the underlying commodities. A number
of modifications to the methodology for determining the contracts to be
included in the Basket Indices, and for valuing Basket Indices, have been made
in the past several years and further modifications may be made in the future. Such
changes could adversely affect the payment at maturity and/or the market value
of the Notes.
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EACH OF THE BASKET INDICES MAY BE MORE
VOLATILE AND SUSCEPTIBLE TO PRICE FLUCTUATIONS OF COMMODITIES THAN A BROADER
COMMODITIES INDEX Each of the Basket Indices may be more volatile and susceptible
to price fluctuations than a broader commodities index, such as the S&P
GSCI. In contrast to the
S&P GSCI, which includes contracts on the principal physical commodities that
are actively traded, each of the Basket Indices is comprised of contracts on
only a portion of such physical commodities. As a result, price volatility in
the contracts included in the S&P GSCI will likely have a greater impact on each
Basket Index than it would on the broader S&P GSCI, and each Basket Index
individually will be more susceptible to fluctuations and declines in value of
the physical commodities included in such Basket Index. In addition, because each
of the Basket Indices omit principal market sectors comprising the S&P GSCI, they may be less
representative of the economy and commodity markets as a whole and might
therefore not serve as a reliable benchmark for commodity market performance
generally.
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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 agents commission
and the 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 agents commission and hedging costs, including those set forth 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.
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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 Basket 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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the volatility, frequency and magnitude of changes in
the value of the Basket Components;
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supply and demand trends for each Basket Component at
any time;
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the market price of the Basket Commodities and the physical
commodities upon which the futures contracts that compose the Basket Indices
are based or the exchange traded futures contracts on such commodities;
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a variety of economic, financial, political and
regulatory, geographical, meteorological or judicial events;
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interest and yield rates in the market generally;
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the time remaining to the maturity of the notes; and
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our creditworthiness, including actual or anticipated
downgrades in our credit ratings.
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JPMorgan
Structured Investments
Principal Protected Dual Directional Notes Linked to a Weighted Basket Consisting of Three Commodities and Three Commodity Indices
|
TS-3 |
Sensitivity Analysis Hypothetical Payment at Maturity for Each
$1,000 Principal Amount Note
The following table 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 performances for
the Basket Return from -80% to +80% and assumes an Upside Participation
Rate of 125% and a Downside Participation Rate of 30%. The Upside
Participation Rate will be determined on the pricing date and will not be less
than 125% or greater than 135%. The Downside Participation Rate will be
determined on the pricing date and will not be less than 30%. The
following results are based solely on the hypothetical example cited. You
should consider carefully whether the notes are suitable to your investment
goals. The numbers appearing in the table below have been rounded for ease of
analysis.
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Ending
Basket
Level |
Basket
Return |
Absolute
Basket
Return |
Basket Return x
Upside
Participation Rate
(125%) |
Absolute Basket
Return x Downside
Participation Rate
(30%) |
Additional
Amount |
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Principal |
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Payment at
Maturity |
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180 |
80.00% |
80.00% |
100.00% |
N/A |
$1,000.00 |
+ |
$1,000 |
= |
$2,000.00 |
170 |
70.00% |
70.00% |
87.50% |
N/A |
$875.00 |
+ |
$1,000 |
= |
$1,875.00 |
160 |
60.00% |
60.00% |
75.00% |
N/A |
$750.00 |
+ |
$1,000 |
= |
$1,750.00 |
150 |
50.00% |
50.00% |
62.50% |
N/A |
$625.00 |
+ |
$1,000 |
= |
$1,625.00 |
140 |
40.00% |
40.00% |
50.00% |
N/A |
$500.00 |
+ |
$1,000 |
= |
$1,500.00 |
130 |
30.00% |
30.00% |
37.50% |
N/A |
$375.00 |
+ |
$1,000 |
= |
$1,375.00 |
120 |
20.00% |
20.00% |
25.00% |
N/A |
$250.00 |
+ |
$1,000 |
= |
$1,250.00 |
115 |
15.00% |
15.00% |
18.75% |
N/A |
$187.50 |
+ |
$1,000 |
= |
$1,187.50 |
110 |
10.00% |
10.00% |
12.50% |
N/A |
$125.00 |
+ |
$1,000 |
= |
$1,125.00 |
100 |
0.00% |
0.00% |
0.00% |
0.00% |
$0.00 |
+ |
$1,000 |
= |
$1,000.00 |
90 |
-10.00% |
10.00% |
N/A |
3.00% |
$30.00 |
+ |
$1,000 |
= |
$1,030.00 |
80 |
-20.00% |
20.00% |
N/A |
6.00% |
$60.00 |
+ |
$1,000 |
= |
$1,060.00 |
70 |
-30.00% |
30.00% |
N/A |
9.00% |
$90.00 |
+ |
$1,000 |
= |
$1,090.00 |
60 |
-40.00% |
40.00% |
N/A |
12.00% |
$120.00 |
+ |
$1,000 |
= |
$1,120.00 |
50 |
-50.00% |
50.00% |
N/A |
15.00% |
$150.00 |
+ |
$1,000 |
= |
$1,150.00 |
40 |
-60.00% |
60.00% |
N/A |
18.00% |
$180.00 |
+ |
$1,000 |
= |
$1,180.00 |
30 |
-70.00% |
70.00% |
N/A |
21.00% |
$210.00 |
+ |
$1,000 |
= |
$1,210.00 |
20 |
-80.00% |
80.00% |
N/A |
24.00% |
$240.00 |
+ |
$1,000 |
= |
$1,240.00 |
|
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 $250 and the final payment at maturity is equal to $1,250 per $1,000
principal amount note, calculated as follows:
$1,000 +
($1,000 x [(120-100)/100] x 125%) = $1,250
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 Additional Amount is
equal to $120 and the final payment at maturity is equal to $1,120 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 x absolute value of
[(60-100)/100] x 30%) = $1,120
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 $125 and the final payment at maturity is equal to $1,125 per $1,000
principal amount note, calculated as follows:
$1,000 + ($1,000 x [(110-100)/100] x 125%)
= $1,125
Example 4: The Ending Basket Level is 100. Because the Ending Basket Level of
100 is the same as the Starting Basket Level, the final payment at maturity is
equal to $1,000 per $1,000 principal amount note.
|
JPMorgan
Structured Investments
Principal Protected Dual Directional Notes Linked to a Weighted Basket Consisting of Three Commodities and Three Commodity Indices
|
TS-4 |
Historical Information
The following graphs show the historical weekly
performance of each Basket Component as well as the Basket as a whole, from January 4, 2002 through December 21, 2007. The graph of the
historical Basket performance assumes the Basket level on January 4, 2002 was 100 and the Component
Weightings specified on the cover of this term sheet on that date. The Crude Oil settlement price on December 27, 2007 was $96.85. The Aluminum settlement
price on December 27,
2007 was $2370.00. The
Copper settlement price on December 27, 2007
was $6871.00. The
closing level of the S&P GSCI Precious Metals Index Excess Return on December
27, 2007
was 129.4343. The closing level of
the S&P
GSCI Livestock Index Excess Return on December 27, 2007 was 326.5714. The closing level of
the S&P
GSCI Agriculture Index Excess Return on December 27, 2007 was 83.66432. We obtained the
various settlement prices and closing levels for the various Basket Components
from Bloomberg Financial Markets. We make no representation or warranty as to
the accuracy or completeness of information obtained from Bloomberg Financial
Markets.
The historical settlement prices and closing levels of the
Basket Components and the Basket should not be taken as an indication of future
performance, and no assurance can be given as to the settlement price or closing
level of any Basket Component on the Observation Date. Although unlikely, we cannot give you
assurance that the
performance of the Basket Components will result in the return of more than the
principal amount of your notes.
|
JPMorgan
Structured Investments
Principal Protected Dual Directional Notes Linked to a Weighted Basket Consisting of Three Commodities and Three Commodity Indices
|
TS-5 |