Term
sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 121-I dated March 7, 2008
|
Term
Sheet to
Product
Supplement No. 121-I
Registration
Statement No. 333-130051
Dated
March 7, 2008; Rule 433
|
Structured
Investments |
JPMorgan
Chase & Co.
$
SemiAnnual Review
Notes Linked to the S&P 500® Financials Index due March 19,
2010
|
·
|
The
notes are
designed for investors who seek early exit prior to maturity at a
premium
if, on any one of the three Review Dates, the S&P 500®
Financials
Index is at or above the Call Level applicable to that Review Date.
If the
notes are not called, investors are protected against up to a 10%
decline
of the Index on the final Review Date but will lose some or all of
their
principal if the Index declines by more than 10%. Investors in the
notes
should be willing to accept this risk of loss, and be willing to
forgo
interest and dividend payments, in exchange for the opportunity to
receive
a premium payment if the notes are
called.
|
·
|
The
first
Review Date, and therefore the earliest date on which a call may
be
initiated, is March 16, 2009.
|
·
|
Senior
unsecured obligations of JPMorgan Chase & Co. maturing March 19,
2010†.
|
·
|
Minimum
denominations of $1,000 and integral multiples
thereof.
|
·
|
The
notes are
expected to price on or about March 10, 2008††
and are
expected to settle on or about March 13,
2008.
|
Index:
|
The
S&P
500®
Financials
Index (the “Index”)
|
Automatic
Call:
|
If
the Index
closing level on any Review Date is greater than or equal to the
Call
Level, the notes will be automatically called for a cash payment
per note
that will vary depending on the applicable Review Date and call
premium.
|
Call
Level:
|
100%
of the
Initial Index Level.
|
Payment
if
Called:
|
For
every
$1,000 principal amount note, you will receive one payment of $1,000
plus
a call premium calculated as follows:
•
at
least
18.850%*
x $1,000 if
called on the first Review Date
•
at
least
28.275%*
x $1,000 if
called on the second Review Date
•
at
least
37.700%*
x $1,000 if
called on the final Review Date
*The
actual
percentage applicable to the first, second and final Review Dates
will be
determined on the pricing date but will not be less than 18.850%,
28.275%
and 37.700%, respectively.
|
Payment
at
Maturity:
|
If
the notes
are not called and a mandatory redemption is not triggered, your
principal
is protected at maturity against up to a 10% decline of the Index.
If the
Ending Index Level has declined by up to 10% from the Initial Index
Level,
you will receive the principal amount of your notes at maturity.
If the
Ending Index Level declines 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 payment per $1,000 principal amount note will be calculated
as follows:
$1,000
+
[$1,000 x (Index Return + 10%) x 1.1111]
Assuming
the notes are not called, you will lose some or all of your investment
at
maturity if the Index Return reflects a decline of more than
10%.
|
Buffer:
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10%
|
Index
Return:
|
The
performance of the Index from the Initial Index Level to the Ending
Index
Level calculated as follows:
|
Ending
Index Level - Initial Index Level
Initial
Index
Level
|
|
Initial
Index
Level:
|
The
Index
closing level on the pricing date.
|
Ending
Index
Level:
|
The
Index
closing level on the final Review Date.
|
Review
Dates†:
|
March
16,
2009 (first Review Date), September 16, 2009 (second Review Date)
and
March 16, 2010 (final Review Date).
|
Maturity
Date†:
|
March
19,
2010
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CUSIP:
|
† |
Subject
to
postponement in the event of a market disruption event and as described
under “Description of Notes — Payment at Maturity” or “Description of
Notes — Automatic Call,” as applicable, in the accompanying product
supplement no. 121-I.
|
†† |
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.”
|
Price
to Public
|
Fees
and Commissions (1)
|
Proceeds
to Us
|
|
Per
note
|
$
|
$
|
$
|
Total
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$
|
$
|
$
|
(1)
|
Please
see
“Supplemental Underwriting Information” in this term sheet for information
about fees and commissions.
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· |
Product
supplement no. 121-I dated March 7, 2008:
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· |
Prospectus
supplement dated October 12, 2006:
|
· |
Prospectus
dated December 1, 2005:
|
|
Index
Level
|
Total
|
Total
|
Total
|
|
Appreciation/
|
Return
at
|
Return
at
|
Return
|
Index
|
Depreciation
at
|
First
|
Second
|
at
Final
|
Closing
Level
|
Review
Date
|
Review
Date
|
Review
Date
|
Review
Date
|
576.00
|
80%
|
18.850%
|
28.275%
|
37.700%
|
544.00
|
70%
|
18.850%
|
28.275%
|
37.700%
|
512.00
|
60%
|
18.850%
|
28.275%
|
37.700%
|
480.00
|
50%
|
18.850%
|
28.275%
|
37.700%
|
448.00
|
40%
|
18.850%
|
28.275%
|
37.700%
|
416.00
|
30%
|
18.850%
|
28.275%
|
37.700%
|
384.00
|
20%
|
18.850%
|
28.275%
|
37.700%
|
352.00
|
10%
|
18.850%
|
28.275%
|
37.700%
|
320.00
|
0%
|
18.850%
|
28.275%
|
37.700%
|
319.68
|
-0.1%
|
N/A
|
N/A
|
0.000%
|
304.00
|
-5%
|
N/A
|
N/A
|
0.000%
|
288.00
|
-10%
|
N/A
|
N/A
|
0.000%
|
272.00
|
-15%
|
N/A
|
N/A
|
-5.556%
|
256.00
|
-20%
|
N/A
|
N/A
|
-11.111%
|
224.00
|
-30%
|
N/A
|
N/A
|
-22.222%
|
192.00
|
-40%
|
N/A
|
N/A
|
-33.333%
|
160.00
|
-50%
|
N/A
|
N/A
|
-44.444%
|
128.00
|
-60%
|
N/A
|
N/A
|
-55.556%
|
96.00
|
-70%
|
N/A
|
N/A
|
-66.667%
|
64.00
|
-80%
|
N/A
|
N/A
|
-77.778%
|
32.00
|
-90%
|
N/A
|
N/A
|
-88.889%
|
0.00
|
-100%
|
N/A
|
N/A
|
-100.000%
|
· |
APPRECIATION
POTENTIAL —
If
the
Index closing level is greater than or equal to the Call Level on
a Review
Date, your investment will yield a payment per note of $1,000 plus:
(i) at
least 18.850%* x $1,000 if called on the first Review Date; (ii)
at least
28.275%* x $1,000 if called on the second Review Date; or (iii) at
least
37.700%* x $1,000 if called on the final Review Date. Because the
notes
are our senior unsecured obligations, payment of any amount if called
or
at maturity is subject to our ability to pay our obligations as they
become due.
*The
actual
percentage applicable to the Review Dates above will be determined
on the
pricing date but will not be less than 18.850%, 28.275% and 37.700%,
respectively.
|
· |
POTENTIAL
EARLY EXIT WITH APPRECIATION AS A RESULT OF AUTOMATIC CALL FEATURE
—
While
the
original term of the notes is just over two years, the notes will
be
called before maturity if the Index closing level is at or above
the Call
Level n a Review Date and you will be entitled to the applicable
payment
corresponding to that Review Date set forth on the cover of this
term
sheet.
|
· |
LIMITED
PROTECTION AGAINST LOSS —
If
the
notes are not called and the Ending Index Level declines by no more
than
10% as compared to the Initial Index Level, you will be entitled
to
receive the full principal amount of your notes at maturity. If the
Ending
Index Level declines by more than 10%, for every 1% decline of the
Index
beyond 10% you will lose an amount equal to 1.1111% of the principal
amount of your notes.
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· |
RETURN LINKED TO THE S&P 500®
FINANCIALS INDEX —
The
return
on the notes is linked to the S&P
500®
Financials
Index. The
S&P 500®
Financials Index is a capitalization-weighted index that represents
the
financial sector of the companies the equity securities of which
are
included in the S&P 500®
Index. The S&P 500®
Financials Index is intended to provide an indication of the pattern
of
the movements of the equity securities of companies that are components
of
the S&P 500®
Index and are involved in the development or production of financial
products. The
S&P
500®
500 Index
consists of 500 component stocks selected to provide a performance
benchmark for the U.S. equity markets. For additional information
about
the Index, see the information set forth under “The S&P
500®
Financials
Index” in the accompanying product supplement no.
121-I.
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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. 121-I. The pricing of the notes
is
subject to delivery of an opinion of our special tax counsel, Davis
Polk
& Wardwell, that it is reasonable to treat your purchase and ownership
of the notes as an “open transaction” for U.S. federal income tax
purposes. The opinion will be subject to the limitations described
in the
section entitled “Certain U.S. Federal Income Tax Consequences” in the
accompanying product supplement no. 121-I 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 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
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·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
If
the
notes are not called and the Ending Index Level declines by more
than 10%
compared to the Initial Index Level, you will lose 1.1111% of your
principal amount for every 1% decline in the Ending Index Level compared
to the Initial Index Level beyond the 10%
buffer.
|
·
|
LIMITED RETURN ON THE NOTES — Your potential gain on the notes will be limited to the call premium applicable for a Review Date, as set forth on the cover of this term sheet, regardless of the appreciation in the Index, which may be significant. Because the Index closing level at various times during the term of the notes could be higher than on the Review Dates and at maturity, you may receive a lower payment if called or at maturity, as the case may be, than you would have if you had invested directly in the Index. |
·
|
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
S&P 500®
Financials
Index would have.
|
·
|
THE
PERFORMANCE OF THE INDEX MAY DIFFER FROM THE PERFORMANCE OF THE S&P
500® FINANCIALS
INDEX —
Although
the S&P 500®
Financials Index consists of companies drawn from the universe of
companies included in the S&P 500®
Index, the performance of the Index may differ from the performance
of the
S&P 500®
Index because the composition and weighting of the Index differs
from the
composition and weighting the S&P 500®
Index. Because of this imperfect correlation, the return on the notes
will
not be the same as a debt security with a payment at maturity linked
to
the performance of the S&P 500®
Index.
|
·
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CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES
PRIOR
TO MATURITY —
While
the
payment on any Review Date or 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 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 the notes to
maturity.
|
·
|
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.
|
·
|
THE
INDEX IS CONCENTRATED IN THE FINANCIAL SERVICES SECTOR
—
All
or substantially all of the equity securities which are included
in the
Index are issued by companies whose primary line of business is directly
associated with the financial services sector, including the following
sub-sectors: banking, mortgage finance, consumer finance, specialized
finance, investment banking and brokerage, asset management and custody,
corporate lending, insurance and financial investment, and real estate,
including real estate investment trusts. Because the value of the
notes is
linked to the performance of the Index, an investment in these notes
will
be concentrated in the financial services sector. Financial services
companies are subject to extensive government regulation which may
limit
both the amounts and types of loans and other financial commitments
they
can make, and the interest rates and fees they can charge. Profitability
is largely dependent on the availability and cost of capital funds,
and
can fluctuate significantly when interest rates change. Credit losses
resulting from financial difficulties of borrowers can negatively
impact
the sector. Insurance companies may be subject to severe price
competition. Adverse economic, business or political developments
affecting real estate could have a major effect on the value of real
estate securities (which include real estate investment trusts).
As a
result, the value of the notes may be subject to greater volatility
and be
more adversely affected by a single economic, political or regulatory
occurrence affecting these industries than a different investment
linked
to securities of a more broadly diversified group of
issuers.
|
·
|
WE
ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX
—
We
are
currently one of the companies that make up the Index, but, to our
knowledge, we are not currently affiliated with any other issuers
the
equity securities of which are included in the
Index.
|
·
|
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. We will not have any
obligation to consider your interests as a holder of the notes in
taking
any corporate action that might affect the value of the Index and
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
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.
|