Term
sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 54-IV dated May 4, 2007
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Term
Sheet No. 29 to
Product
Supplement No. 54-IV
Registration
Statement No. 333-130051
Dated
February 11, 2008; Rule 433
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Structured
Investments |
JPMorgan
Chase & Co.
$
Buffered
Return Enhanced Notes Linked to a Basket Consisting of the AMEX Hong
Kong
30 Index, the FTSE/Xinhua China 25 Index, the Korea Stock Price Index
200,
the MSCI Singapore Index and the MSCI Taiwan Index due February 25,
2009
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· |
The
notes are
designed for investors who seek a return of twice the appreciation
of a
diversified basket of Asian indices up to a maximum total return
on the
notes of 21.90%* at maturity. Investors should be willing to forgo
interest and dividend payments and, if the Basket 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 February 25,
2009†.
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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 February 13, 2008†† and
are
expected to settle on or about February 19,
2008.
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Basket:
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The
notes are
linked to a basket consisting of the AMEX Hong Kong 30 Index (“HKX”), the
FTSE/Xinhua China 25 Index (“XIN0I”), the Korea Stock Price Index 200
(“KOSPI2”), the MSCI Singapore Index (“SGY”) and the MSCI Taiwan Index
(“TWY”) (each a “Basket Index,” and together, the “Basket
Indices”).
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Component
Weightings:
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The
AMEX Hong
Kong Weighting is 16.50%, the FTSE/Xinhua Weighting is 29.00%, the
KOSPI
200 Weighting is 27.00%, the MSCI Singapore Weighting is 8.50% and
the
MSCI Taiwan Weighting is 19.00% (each a “Component Weighting,” and
collectively, the “Component Weightings”).
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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
Basket Level is greater than the Starting Basket Level, you will
receive a
cash payment that provides you with a return per $1,000 principal
amount
note equal to the Basket Return multiplied by two, subject to a Maximum
Total Return on the notes of 21.90%*. For example, if the Basket
Return is
more than 10.95%, you will receive the Maximum Total Return on the
notes
of 21.90%*, which entitles you to the maximum payment of $1,219 at
maturity for every $1,000 principal amount note that you hold.
Accordingly, if the Basket Return is positive, your payment per $1,000
principal amount note will be calculated as follows, subject to the
Maximum Total Return:
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$1,000
+
[$1,000 x (Basket Return x 2)]
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*
The actual
Maximum Total Return on the notes will be set on the pricing date
and will
not be less than 21.90%.
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Your
principal is protected against up to a 10% decline in the Basket
at
maturity. If the Ending Basket Level declines from the Starting Basket
Level by up to 10%, you will receive the principal amount of your
notes at
maturity.
If
the Ending
Basket Level declines from the Starting Basket Level by more than
10%, you
will lose 1.1111% of the principal amount of your notes for every
1% that
the Basket 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 (Basket Return + 10%) x 1.1111]
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You
will
lose some or all of your investment at maturity if the Ending Basket
Level
declines from the Starting Basket 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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Basket
Return:
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The
performance of the Basket from the Starting Basket Level to the Ending
Basket Level, calculated as follows:
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Ending
Basket Level - Starting Basket Level
Starting
Basket Level
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Starting
Basket Level:
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Set
equal to
100 on the pricing date.
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Ending
Basket
Level:
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The
arithmetic average of the Basket Closing Levels on the five Ending
Averaging Dates.
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Basket
Closing Level:
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For
each of
the Ending Averaging Dates, the Basket Closing Level will be calculated
as
follows:
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100
x [1 +
((AMEX Hong Kong Return * AMEX Hong Kong Weighting) + (FTSE/Xinhua
Return
* FTSE/Xinhua Weighting) + (KOSPI 200 Return * KOSPI 200 Weighting)
+
(MSCI Singapore Return * MSCI Singapore Weighting) + (MSCI Taiwan
Return *
MSCI Taiwan Weighting))]
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The
returns
set forth in the formula above reflect the performance of each Basket
Index, expressed as a percentage, from the closing level on the pricing
date to the closing level on the relevant Ending Averaging
Date.
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Ending
Averaging Dates†:
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February
13,
2009, February 17, 2009, February 18, 2009, February 19, 2009 and
February
20, 2009
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Maturity
Date†:
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February
25,
2009
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CUSIP:
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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. 54-IV.
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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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· |
Product
supplement no. 54-IV dated May 4, 2007:
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· |
Prospectus
supplement dated October 12, 2006:
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· |
Prospectus
dated December 1, 2005:
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Ending
Basket Level
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Basket
Return
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Total
Return
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180.00
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80.00%
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21.90%
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165.00
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65.00%
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21.90%
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150.00
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50.00%
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21.90%
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140.00
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40.00%
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21.90%
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130.00
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30.00%
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21.90%
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120.00
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20.00%
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21.90%
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110.95
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10.95%
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21.90%
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110.00
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10.00%
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20.00%
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105.00
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5.00%
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10.00%
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102.50
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2.50%
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5.00%
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101.00
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1.00%
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2.00%
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100.00
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0.00%
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0.00%
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95.00
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-5.00%
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0.00%
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90.00
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-10.00%
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0.00%
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80.00
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-20.00%
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-11.11%
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70.00
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-30.00%
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-22.22%
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60.00
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-40.00%
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-33.33%
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50.00
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-50.00%
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-44.44%
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40.00
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-60.00%
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-55.56%
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30.00
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-70.00%
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-66.67%
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20.00
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-80.00%
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-77.78%
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10.00
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-90.00%
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-88.89%
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0.00
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-100.00%
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-100.00%
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· |
APPRECIATION
POTENTIAL —
The
notes
provide the opportunity to enhance equity returns by multiplying
a
positive Basket Return by two, up to the Maximum Total Return on
the notes
of 21.90%, or $1,219 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 21.90%. 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 Basket Level, as compared to the Starting Basket
Level, of up to 10%. If the Ending Basket Level declines by more
than 10%,
for every 1% decline of the Basket beyond 10%, you will lose an amount
equal to 1.1111% of the principal amount of your
notes.
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DIVERSIFICATION
AMONG THE BASKET INDICES —
The
return
on the notes is linked to a basket consisting of the AMEX Hong Kong
30
Index, the FTSE/Xinhua China 25 Index, the Korea Stock Price Index
200,
the MSCI Singapore Index and the MSCI Taiwan Index. The AMEX Hong
Kong 30
Index is based on the capitalization of 30 stocks actively traded
on The
Stock Exchange of Hong Kong Ltd. and is designed to represent a
substantial segment of the Hong Kong stock market. The FTSE/Xinhua
China
25 Index is a stock index calculated and published by FTSE/Xinhua
Index
Limited, and is designed to represent the performance of the mainland
Chinese market available to international investors. It is currently
based
on the largest and the most liquid Chinese stocks listed and trading
on
The Stock Exchange of Hong Kong Ltd. The Korea Stock Price Index
200 is a
capitalization-weighted index of 200 Korean blue-chip stocks which
make up
a large majority of the total market value of the Korea Stock Exchange.
The MSCI Singapore Index is a free float-adjusted market capitalization
index that is calculated by Morgan Stanley Capital International
Inc.
(“MSCI”) and designed to measure equity market performance in Singapore.
The MSCI Taiwan Index, which is calculated by MSCI, is a free
float-adjusted market capitalization index of securities listed on
the
Taiwan Stock Exchange. For additional information about each Basket
Index,
see the information set forth under “The AMEX Hong Kong 30 Index,” “The
FTSE/Xinhua China 25 Index,” “The Korea Stock Price Index 200,” “The MSCI
Singapore Index” and “The MSCI Taiwan Index” on PS-31, PS-48, PS-53, PS-61
and PS-65, respectively, of the accompanying product supplement no.
54-IV,
as supplemented, with respect to the MSCI Singapore Index and the
MSCI
Taiwan Index, by the information set forth under “Supplemental Information
— Transition of the MSCI Singapore Index and the MSCI Taiwan Index
to a
New Index Methodology” in this term
sheet.
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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. 54-IV. 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. 54-IV and
will be based on certain factual representations to be received from
us on
or prior to the pricing date. Assuming this characterization is respected,
your gain or loss on the notes should be treated as long-term capital
gain
or loss if you hold the notes for more than a year, whether or not
you are
an initial purchaser of notes at the issue price. However, the Internal
Revenue Service (the “IRS”) or
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a
court may not respect this characterization or treatment of the notes,
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,
such as the notes. The notice focuses in particular on whether to
require
holders of these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these
instruments; the relevance of factors such as the nature of the underlying
property to which the instruments are linked; the degree, if any,
to which
income (including any mandated accruals) realized by Non-U.S. Holders
should be subject to withholding tax; and whether these instruments
are or
should be subject to the “constructive ownership” regime, which very
generally can operate to recharacterize certain long-term capital
gain as
ordinary income that is subject to an interest charge. While the
notice
requests comments on appropriate transition rules and effective dates,
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. Both
U.S. and Non-U.S. Holders
should consult their
tax advisers
regarding the U.S.
federal income tax consequences of an investment in
the notes, including possible alternative treatments
and the issues
presented by
this notice.
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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 Basket and will depend
on
whether, and the extent to which, the Basket Return is positive or
negative. Your investment will be exposed on a leveraged basis to
any
decline in the Ending Basket Level beyond the 10% buffer as compared
to
the Starting Basket Level.
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YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL RETURN
—
If
the
Ending Basket Level is greater than the Starting Basket 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 Basket, 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
21.90%.
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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
any of
the Basket Indices would have.
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NO
DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES
—
The
value
of your notes will not be adjusted for exchange rate fluctuations
between
the U.S. dollar and the currencies upon which the stocks underlying
each
Basket Index are based, although any currency fluctuations could
affect
the performance of the Basket. Therefore, if the applicable currencies
appreciate or depreciate relative to the U.S. dollar over the term
of the
notes, you will not receive any additional payment or incur any reduction
in your payment at 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
expected
volatility of the Basket Indices;
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the
time to
maturity of the notes;
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· |
the
dividend
rate on the common stocks underlying the Basket
Indices;
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· |
interest
and
yield rates in the market
generally;
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a
variety of economic, financial, political, regulatory or judicial
events;
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· |
the
exchange
rate and volatility of the exchange rate between the U.S. dollar,
the Hong
Kong dollar, the Chinese renminbi,
the
Korean won, the Singapore dollar and the new Taiwan dollar; and
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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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Investable
Market Index (Large + Mid + Small)
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Standard
Index (Large + Mid)
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· |
Large
Cap
Index
|
· |
Mid
Cap
Index
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· |
Small
Cap
Index
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· |
Updating
the
indices on the basis of a fully refreshed Equity
Universe.
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Taking
buffer
rules into consideration for migration of securities across size
and style
segments.
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Updating
FIFs
and Number of Shares (“NOS”).
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Including
significant new eligible securities (such as IPOs that were not
eligible
for earlier inclusion) in the
index.
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Allowing
for
significant moves of companies within the Size Segment Indices, using
wider buffers than in the SAIR.
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· |
Reflecting
the impact of significant market events on FIFs and updating
NOS.
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