Term
Sheet
To
prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and product supplement no. 39-IX dated March 31, 2008 |
Term
Sheet to
Product
Supplement No. No. 39-IX
Registration
Statement No. 333-130051
Dated April 8, 2008; Rule 433 |
Structured
Investments |
JPMorgan
Chase & Co.
$ Buffered Return Enhanced Notes Linked to the MSCI EAFE® Index due December 6, 2010 |
· |
The
notes are
designed for investors who seek a return of two times the appreciation
of
the MSCI EAFE®
Index up to
a maximum total return on the notes of 46.60%* 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.
|
· |
Senior
unsecured obligations of JPMorgan Chase & Co. maturing December 6,
2010†.
|
· |
Minimum
denominations of $50,000 and integral multiples of $1,000 in
excess
thereof.
|
· |
The
notes are
expected to price on or about April 9, 2008 and are expected
to settle on
or about April 14,
2008.
|
Index:
|
The
MSCI
EAFE®
Index (the
“Index”)
|
Upside
Leverage Factor:
|
2
|
Payment
at
Maturity:
|
If
the MSCI
EAFE Closing Level is greater than the MSCI EAFE Starting Level,
you will
receive a cash payment that provides you with a return per $1,000
principal amount note equal to the MSCI EAFE Return multiplied
by two,
subject to a Maximum Total Return on the notes of 46.60%*. For
example, if
the MSCI EAFE Return is more than 23.30%, you will receive the
Maximum
Total Return on the notes of 46.60%*, which entitles you to a
maximum
payment at maturity of $1,466 for every $1,000 principal amount
note that
you hold. Accordingly, if the MSCI EAFE 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 (MSCI EAFE Return x 2)]
*The
actual
Maximum Total Return on the notes will be set on the pricing
date and will
not be less than 46.60%.
|
|
Your
principal is protected against up to a 10% decline of the Index
at
maturity. If the MSCI EAFE Closing Level declines from the MSCI
EAFE
Starting Level by up to 10%, you will receive the principal amount
of your
notes at maturity.
If
the MSCI
EAFE Closing Level declines from the MSCI EAFE Starting 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:
|
|
$1,000
+
[$1,000 x (MSCI EAFE Return + 10%) x 1.1111]
|
|
You
will
lose some or all of your investment at maturity if the MSCI EAFE
Closing
Level declines from the MSCI EAFE Starting Level by more than
10%.
|
|
Buffer
Amount:
|
10%
|
Downside
Leverage Factor:
|
1.1111
|
MSCI
EAFE
Return:
|
The
performance of the Index from the MSCI EAFE Starting Level to
the MSCI
EAFE Closing Level, calculated as follows:
|
MSCI
EAFE
Closing Level - MSCI EAFE Starting Level
MSCI
EAFE
Starting Level
|
|
MSCI
EAFE
Starting Level:
|
The
closing
level of the Index on the pricing date.
|
MSCI
EAFE
Closing Level:
|
The
arithmetic average of the closing levels of the Index on each
of the five
Ending Averaging Dates.
|
Ending
Averaging Dates†:
|
November
24,
2010, November 26, 2010, November 29, 2010, November 30, 2010
and December
1, 2010
|
Maturity
Date†:
|
December
6,
2010
|
CUSIP:
|
† |
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. 39-IX.
|
Price
to Public
|
Fees
and Commissions (1)
|
Proceeds
to Us
|
|
Per
note
|
$
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) |
Please
see
“Supplemental Underwriting Information” in this term sheet for information
about fees and
commissions.
|
· |
Product
supplement no. 39-IX dated March 31, 2008:
|
· |
Prospectus
supplement dated October 12,
2006:
|
· |
Prospectus
dated December 1, 2005:
|
MSCI
EAFE Closing Level
|
MSCI
EAFE Return
|
Total
Return
|
3870.00
|
80.00%
|
46.60%
|
3547.50
|
65.00%
|
46.60%
|
3225.00
|
50.00%
|
46.60%
|
3010.00
|
40.00%
|
46.60%
|
2795.00
|
30.00%
|
46.60%
|
2650.95
|
23.30%
|
46.60%
|
2580.00
|
20.00%
|
40.00%
|
2472.50
|
15.00%
|
30.00%
|
2365.00
|
10.00%
|
20.00%
|
2257.50
|
5.00%
|
10.00%
|
2171.50
|
1.00%
|
2.00%
|
2150.00
|
0.00%
|
0.00%
|
2042.50
|
-5.00%
|
0.00%
|
1935.00
|
-10.00%
|
0.00%
|
1720.00
|
-20.00%
|
-11.11%
|
1505.00
|
-30.00%
|
-22.22%
|
1290.00
|
-40.00%
|
-33.33%
|
1075.00
|
-50.00%
|
-44.44%
|
860.00
|
-60.00%
|
-55.56%
|
645.00
|
-70.00%
|
-66.67%
|
430.00
|
-80.00%
|
-77.78%
|
215.00
|
-90.00%
|
-88.89%
|
0.00
|
-100.00%
|
-100.00%
|
· |
APPRECIATION
POTENTIAL — The notes provide the
opportunity to enhance equity returns by multiplying a positive
MSCI EAFE
Return by two, up to the Maximum Total Return on the notes
of 46.60%, or
$1,466 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 46.60%. 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.
|
· |
LIMITED
PROTECTION AGAINST LOSS — Payment at maturity of the principal
amount of the notes is protected against a decline in the
MSCI EAFE
Closing Level, as compared to the MSCI EAFE Starting Level,
of up to 10%.
If the MSCI EAFE Closing 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.
|
·
|
DIVERSIFICATION
OF THE MSCI EAFE®
INDEX —
The return on the notes is linked to the MSCI EAFE®
Index. The MSCI EAFE®
Index is designed to measure developed market equity performance
in
Europe, Asia, Australia and the Far East, but excluding the
United States
and Canada. Morgan Stanley Capital International Inc., the
sponsor of the
MSCI EAFE®
Index, recently announced changes to the methodology used to
calculate its
MSCI Standard Indices, including the MSCI EAFE®
Index. For additional information about the Index and the changes
to the
Index methodology, see the information set forth under “The MSCI
EAFE®
Index” in the accompanying product supplement no. 39-IX, as supplemented
by the information set forth under “Supplemental Information — Transition
of the MSCI Indices to a New Index Methodology” in the accompanying
product supplement no. 39-IX.
|
· |
CAPITAL
GAINS TAX TREATMENT —
You
should
review carefully the section entitled “Certain U.S. Federal Income Tax
Consequences” in the accompanying product supplement no. 39-IX. Subject to
the limitations described therein, and based on certain factual
representations received from us, in the opinion of our special
tax
counsel, Davis Polk & Wardwell, it is reasonable to treat your
purchase and ownership of the notes as an “open transaction” for U.S.
federal income tax purposes. 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 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.
|
· |
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 MSCI EAFE Return is positive
or
negative. Your investment will be exposed on a leveraged basis
to any
decline in the MSCI EAFE Closing Level beyond the 10% buffer
as compared
to the MSCI EAFE Starting Level.
|
· |
YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL
RETURN —
If
the MSCI
EAFE Closing Level is greater than the MSCI EAFE Starting 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
46.60%.
|
· |
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 estimated 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.
|
· |
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.
|
· |
THE
NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK —
Because the prices of the component securities of the country
indices that
compose the Index are converted into U.S. dollars for purposes
of
calculating the value of the component country indices and
the
Index, your
notes will be exposed to currency exchange rate risk with respect
to each
of the currencies
in
which the component securities of the Index trade.
Your net exposure will depend on the extent to which such currencies
strengthen or weaken against the U.S. dollar and the relative
weight of
the
component
securities in the Index denominated in each such currency.
If, taking into account such weighting, the U.S. dollar strengthens
against such currencies, the value of the Index will be adversely
affected
and the payment at maturity, if any, may be
reduced.
|
· |
LACK
OF LIQUIDITY —
The
notes
will not be listed on any securities exchange. JPMSI intends
to offer to
purchase the notes in the secondary market but is not required
to do so.
Even if there is a secondary market, it may not provide enough
liquidity
to allow you to trade or sell the notes easily. Because other
dealers are
not likely to make a secondary market for the notes, the price
at which
you may be able to trade your notes is likely to depend on
the price, if
any, at which JPMSI is willing to buy the notes.
|
· |
POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the issuance
of the
notes, including acting as calculation agent 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.
|
· |
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:
|
· |
the
expected
volatility of the Index;
|
·
|
the
time to
maturity of the notes;
|
·
|
the
dividend
rate on the common stocks underlying the
Index;
|
·
|
interest
and
yield rates in the market generally as well as in the markets
of the
component securities composing the
Index;
|
·
|
a
variety of
economic, financial, political, regulatory or judicial events;
|
·
|
the
exchange rate and the volatility of the exchange rate between
the U.S.
dollar and the currencies in which securities composing the
Index are
traded and the correlation between that rate and the level
of the Index;
and
|
· |
our
creditworthiness, including actual or anticipated downgrades
in our credit
ratings.
|