Term sheet |
Term Sheet No. 10 to Product Supplement No. 54-IV Registration Statement No. 333-130051 Dated July 25, 2007; Rule 433 |
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Structured |
JPMorgan Chase & Co. |
General
Key Terms
Basket: |
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: |
The AMEX Hong Kong Weighting is 29.65%, the FTSE/Xinhua Weighting is 22.00%, the KOSPI 200 Weighting is 21.75%, the MSCI Singapore Weighting is 10.10% and the MSCI Taiwan Weighting is 16.50% (each a Component Weighting, and collectively, the Component Weightings). |
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Upside Leverage Factor: |
2 |
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Payment at Maturity: |
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 26.30%*. For example, if the Basket Return is more than 13.15%, you will receive the Maximum Total Return on the notes of 26.30%*, which entitles you to the maximum payment of $1,263 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 26.30%. |
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Your investment will be fully exposed to any decline in the Basket. If the Ending Basket Level declines from the Starting Basket Level, you will lose 1% of the principal amount of your notes for every 1% that the Basket declines beyond the Starting Basket Level. Accordingly, if the Basket Return is negative, your payment per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Basket Return) |
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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. |
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Basket Return: |
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 |
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Starting Basket Level: |
Set equal to 100 on the pricing date. |
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Ending Basket Level: |
The arithmetic average of the Basket Closing Levels on the five Ending Averaging Dates. |
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Basket Closing Level: |
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: |
July 30, 2008, July 31, 2008, August 1, 2008, August 4, 2008 and August 5, 2008 |
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Maturity Date: |
August 8, 2008 |
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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. |
| 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. |
Investing in the Return Enhanced Notes involves a number of risks. See Risk Factors beginning on page PS-11 of the accompanying product supplement no. 54-IV and Selected Risk Considerations beginning on page TS-3 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. 54-IV and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.
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Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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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
July 25, 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. 54-IV dated May 4, 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. 54-IV, 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.
What is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Basket?
The following table and graph illustrate the hypothetical total return at maturity on the notes. The total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns set forth below assume a Maximum Total Return on the notes of 26.30%. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. The numbers appearing in the following table, graph and examples have been rounded for ease of analysis.
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Ending Basket Level |
Basket Return |
Total Return |
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180.00 |
80.00% |
26.30% |
165.00 |
65.00% |
26.30% |
150.00 |
50.00% |
26.30% |
140.00 |
40.00% |
26.30% |
125.00 |
25.00% |
26.30% |
113.15 |
13.15% |
26.30% |
110.00 |
10.00% |
20.00% |
105.00 |
5.00% |
10.00% |
102.50 |
2.50% |
5.00% |
101.00 |
1.00% |
2.00% |
100.00 |
0.00% |
0.00% |
90.00 |
-10.00% |
-10.00% |
80.00 |
-20.00% |
-20.00% |
70.00 |
-30.00% |
-30.00% |
60.00 |
-40.00% |
-40.00% |
50.00 |
-50.00% |
-50.00% |
40.00 |
-60.00% |
-60.00% |
30.00 |
-70.00% |
-70.00% |
20.00 |
-80.00% |
-80.00% |
10.00 |
-90.00% |
-90.00% |
0.00 |
-100.00% |
-100.00% |
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JPMorgan
Structured Investments
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 |
TS-1 |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table and graph above are calculated.
Example 1: The
level of the Basket increases from a Starting Basket Level of 100 to an Ending Basket
Level of 105.
Because the Ending
Basket Level of 105 is greater than the Starting Basket Level of 100 and the
Basket Return of 5% multiplied by 2 does not exceed the hypothetical Maximum
Total Return of 26.30%, the investor receives a payment at maturity of $1,100
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (5% x 2)] = $1,100
Example 2: The
level of the Basket increases from a Starting Basket Level of 100 to an Ending Basket
Level of 125.
Because the Basket Return of 25%
multiplied by 2 exceeds the hypothetical Maximum Total Return of 26.30%, the
investor receives a payment at maturity of $1,263 per $1,000 principal amount
note, the maximum payment on the notes.
Example 3: The
level of the Basket decreases from a Starting Basket Level of 100 to an Ending Basket
Level of 80.
Because the Ending
Basket Level of 80 is less than the Starting Basket Level of 100, the Basket
Return is negative and the investor receives a payment at maturity of $800 per
$1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x -20%) = $800
Selected Purchase Considerations
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JPMorgan
Structured Investments
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 |
TS-2 |
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Basket, the Basket Indices or any of the component stocks of the Basket Indices. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 54-IV dated May 4, 2007.
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JPMorgan
Structured Investments
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 |
TS-3 |
The following graphs show the historical weekly performance of each Basket Index as well as the Basket as a whole from January 4, 2002 through July 20, 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 closing level of the AMEX Hong Kong 30 Index on July 24, 2007 was 1139.42. The closing level of the FTSE/Xinhua China 25 Index on July 24, 2007 was 21207.13. The closing level of the Korea Stock Price Index 200 on July 24, 2007 was 252.61. The closing level of the MSCI Singapore Index on July 24, 2007 was 451.90. The closing level of the MSCI Taiwan Index on July 24, 2007 was 378.97.
We obtained the various Basket Index closing levels below 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 levels of each Basket Index and of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Basket Index on any of the Ending Averaging Dates. We cannot give you assurance that the performance of the Basket Indices will result in the return of any of your initial investment.
Supplemental Underwriting Information
JPMSI, acting as agent for JPMorgan Chase & Co., will receive a commission that will depend on market conditions on the pricing date. In no event will that commission, which includes structuring and development fees, exceed $15.00 per $1,000 principal amount note. See Underwriting beginning on page PS-125 of the accompanying product supplement no. 54-IV.
For a different portion of the notes to be sold in this offering, an affiliated bank will receive a fee and another affiliate will receive a structuring and development fee. In no event will the total amount of these fees exceed $15.00 per $1,000 principal amount note.
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JPMorgan
Structured Investments
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 |
TS-4 |