|
Term
sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 103-I dated October 19, 2007
 |
Term
Sheet No. 9 to
Product
Supplement No. 103-I
Registration
Statement No. 333-130051
Dated
February 12, 2008; Rule
433
|
|
Structured
Investments
|
JPMorgan
Chase & Co.
$
Notes
Linked to a Weighted Basket of Three Buffered Return Enhanced
Components,
Consisting of the Dow Jones EURO STOXX 50®
Index, the FTSE™ 100 Index and the Nikkei 225 Index
due March 6, 2009
|
General
|
·
|
The
notes are
designed for investors who seek a return of twice the appreciation
of each
underlying in a weighted diversified basket of three international
buffered return enhanced components, consisting of the Dow Jones
EURO
STOXX 50®
Index, the
FTSE™ 100 Index and the Nikkei 225 Index, each of which is subject to a
different maximum return as described below, at maturity. Investors
should
be willing to forgo interest and dividend payments and, if any Component
Underlying declines by more than 10%, be willing to lose some or
all of
their principal.
|
|
·
|
Senior
unsecured obligations of JPMorgan Chase & Co. maturing March 6,
2009†.
|
|
·
|
Minimum
denominations of $1,000 and integral multiples
thereof.
|
|
·
|
The
notes are
expected to price on or about February 15, 2008††
and are
expected to settle on or about February 21,
2008.
|
Key
Terms
|
Basket/Basket
Components:
|
The
notes are
linked to a weighted basket consisting of three buffered
return enhanced
components (each a “Basket Component,” and together, the “Basket
Components”, each linked to an international index (each a “Component
Underlying,” and together, the “Component Underlyings”) as set forth
below:
|
|
Component
Underlying
|
Component
Weighting
|
Buffer
Amount
|
Upside
Leverage
Factor
|
Maximum
Return*
|
Downside
Leverage
Factor
|
|
|
Dow
Jones
EURO STOXX 50®
Index
|
45%
|
10%
|
2
|
16.80%
|
1.1111
|
|
|
FTSE™
100
Index
|
30%
|
10%
|
2
|
15.40%
|
1.1111
|
|
|
Nikkei
225
Index
|
25%
|
10%
|
2
|
18.00%
|
1.1111
|
|
*
The actual
Maximum Return for each Basket Component will be set on
the pricing date
and will not be less than the applicable percentage set
forth in the table
above. The maximum payment at maturity, based on the percentages
set forth
above, is $1,166.80 per $1,000 principal amount note.
|
|
|
Payment
at
Maturity:
|
The
amount
you will receive at maturity is based on the Basket Return,
which in turn
is based on the performance of the Basket Components. At
maturity, your
payment per $1,000 principal amount note will be calculated
as
follows:
|
|
$1,000
+
($1,000 x Basket Return)
|
|
|
Basket
Return:
|
The
sum of
the products of (a) the Component Return of each Basket
Component and (b)
the Component Weighting of such Basket Component.
|
|
Component
Return:
|
With
respect
to each Basket Component, the Component Return will be
calculated as
follows:
|
|
Ending
Underlying Level
|
Component
Return
|
||
|
is
greater than
the Starting
Underlying Level
|
Underlying
Return x upside leverage factor, subject to the Maximum
Return
|
||
|
is
equal
to
the Starting
Underlying Level or
less
than
the Starting
Underlying Level by not more than the buffer amount
|
0
|
||
|
is
less
than
the Starting
Underlying Level by more than the buffer amount
|
(Underlying
Return + buffer amount) x downside leverage
factor
|
|
For
each
Basket Component, if the Ending Underlying Level for the
applicable
Component Underlying declines from the Starting Underlying
Level for such
Component Underlying by more than 10%, your return on the
notes at
maturity may be adversely affected and you may lose some
or all of your
investment at maturity.
|
|
|
Maximum
Return:
|
With
respect
to a Basket Component, a percentage that we will determine
on the pricing
date and that will not be less than the respective percentage
set forth
above under “Basket/Basket Components.” For example, if the Underlying
Return for the Dow Jones EURO STOXX 50®
Index is
more than 8.40%, the applicable Component Return will be
equal to the
applicable Maximum Return, or 16.80%*.
|
|
Underlying
Return:
|
With
respect
to each Component Underlying, the performance of the Component
Underlying
from the Starting Underlying Level to the Ending Underlying
Level,
calculated as follows:
Ending
Underlying Level - Starting Underlying Level
Starting
Underlying Level
|
|
Starting
Underlying Level:
|
With
respect
to each Component Underlying, the Index closing level on
the pricing
date.
|
|
Ending
Underlying Level:
|
With
respect
to each Component Underlying, the arithmetic average of
the Index closing
levels on each of the Ending Averaging Dates.
|
|
Ending
Averaging Dates†:
|
February
25,
2009, February 26, 2009, February 27, 2009, March 2, 2009
and March 3,
2009
|
|
Maturity
Date†:
|
March
6,
2009
|
|
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. 103-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.”
|
Investing
in the Notes Linked to a Basket Consisting of Buffered Return Enhanced
Components involves a number of risks. See “Risk Factors” beginning on page PS-9
of the accompanying product supplement no. 103-I 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. 103-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.
|
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
commissions.
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
February
12,
2008
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. 103-I dated October
19,
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. 103-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):
|
·
|
Product
supplement no. 103-I dated October 19, 2007:
|
|
·
|
Prospectus
supplement dated October 12, 2006:
|
|
·
|
Prospectus
dated December 1, 2005:
|
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 Underlying Return for Each Component Underlying and the Corresponding
Component Return for Each Basket Component Assuming a Range of Performance
for
Each Component Underlying?
The
following table
illustrates the hypothetical Underlying Return for each Component Underlying
and
the corresponding Component Return for each Basket Component. The hypothetical
Underlying Returns and Component Returns set forth below assume a Starting
Underlying Level of 3800, 5700 and 13000 for the Dow Jones EURO STOXX
50®
Index, the FTSE™
100 Index and the Nikkei 225 Index, respectively, and a Maximum Return of
16.80%, 15.40% and 18.00% for the Basket Components linked to the Dow Jones
EURO
STOXX 50®
Index, the FTSE™
100 Index and the Nikkei 225 Index, respectively. The hypothetical Underlying
Returns and Component Returns set forth below are for illustrative purposes
only
and may not be the actual Underlying Returns and Component Returns applicable
to
a purchaser of the notes. The numbers appearing in the following table have
been
rounded for ease of analysis.
|
Dow
Jones EURO STOXX 50®
Index
|
FTSE™
100 Index
|
Nikkei
225 Index
|
||||||
|
Ending
Underlying
Level
|
Underlying
Return
|
Component
Return
|
Ending
Underlying
Level
|
Underlying
Return
|
Component
Return
|
Ending
Underlying
Level
|
Underlying
Return
|
Component
Return
|
|
6660.00
|
80.00%
|
16.80%
|
10260.00
|
80.00%
|
15.40%
|
23400.00
|
80.00%
|
18.00%
|
|
6105.00
|
65.00%
|
16.80%
|
9405.00
|
65.00%
|
15.40%
|
21450.00
|
65.00%
|
18.00%
|
|
5550.00
|
50.00%
|
16.80%
|
8550.00
|
50.00%
|
15.40%
|
19500.00
|
50.00%
|
18.00%
|
|
5180.00
|
40.00%
|
16.80%
|
7980.00
|
40.00%
|
15.40%
|
18200.00
|
40.00%
|
18.00%
|
|
4810.00
|
30.00%
|
16.80%
|
7410.00
|
30.00%
|
15.40%
|
16900.00
|
30.00%
|
18.00%
|
|
4440.00
|
20.00%
|
16.80%
|
6840.00
|
20.00%
|
15.40%
|
15600.00
|
20.00%
|
18.00%
|
|
4070.00
|
10.00%
|
16.80%
|
6270.00
|
10.00%
|
15.40%
|
14300.00
|
10.00%
|
18.00%
|
|
3988.60
|
8.40%
|
16.80%
|
6156.00
|
8.00%
|
15.40%
|
14170.00
|
9.00%
|
18.00%
|
|
3959.00
|
7.00%
|
14.00%
|
6138.90
|
7.70%
|
15.40%
|
13910.00
|
7.00%
|
14.00%
|
|
3922.00
|
6.00%
|
12.00%
|
6042.00
|
6.00%
|
12.00%
|
13780.00
|
6.00%
|
12.00%
|
|
3885.00
|
5.00%
|
10.00%
|
5985.00
|
5.00%
|
10.00%
|
13650.00
|
5.00%
|
10.00%
|
|
3700.00
|
0.00%
|
0.00%
|
5700.00
|
0.00%
|
0.00%
|
13000.00
|
0.00%
|
0.00%
|
|
3515.00
|
-5.00%
|
0.00%
|
5415.00
|
-5.00%
|
0.00%
|
12350.00
|
-5.00%
|
0.00%
|
|
3330.00
|
-10.00%
|
0.00%
|
5130.00
|
-10.00%
|
0.00%
|
11700.00
|
-10.00%
|
0.00%
|
|
2960.00
|
-20.00%
|
-11.11%
|
4560.00
|
-20.00%
|
-11.11%
|
10400.00
|
-20.00%
|
-11.11%
|
|
2590.00
|
-30.00%
|
-22.22%
|
3990.00
|
-30.00%
|
-22.22%
|
9100.00
|
-30.00%
|
-22.22%
|
|
2220.00
|
-40.00%
|
-33.33%
|
3420.00
|
-40.00%
|
-33.33%
|
7800.00
|
-40.00%
|
-33.33%
|
|
1850.00
|
-50.00%
|
-44.44%
|
2850.00
|
-50.00%
|
-44.44%
|
6500.00
|
-50.00%
|
-44.44%
|
|
1480.00
|
-60.00%
|
-55.56%
|
2280.00
|
-60.00%
|
-55.56%
|
5200.00
|
-60.00%
|
-55.56%
|
|
1110.00
|
-70.00%
|
-66.67%
|
1710.00
|
-70.00%
|
-66.67%
|
3900.00
|
-70.00%
|
-66.67%
|
|
740.00
|
-80.00%
|
-77.78%
|
1140.00
|
-80.00%
|
-77.78%
|
2600.00
|
-80.00%
|
-77.78%
|
|
370.00
|
-90.00%
|
-88.89%
|
570.00
|
-90.00%
|
-88.89%
|
1300.00
|
-90.00%
|
-88.89%
|
|
0.00
|
-100.00%
|
-100.00%
|
0.00
|
-100.00%
|
-100.00%
|
0.00
|
-100.00%
|
-100.00%
|
JPMorgan
Structured Investments —
Notes
Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting
of
the Dow Jones EURO STOXX 50® Index,
the FTSE™ 100 Index and the Nikkei 225 Index
TS-1
Hypothetical
Examples of Amounts Payable at Maturity
The
following
examples illustrate how the payment at maturity is calculated under various
hypothetical circumstances. You should review the following examples in
conjunction with the hypothetical table set forth on the previous page,
including the underlying assumptions described on the previous page. The
hypothetical payments at maturity set forth below are for illustrative purposes
only and may not be the actual payment at maturity applicable to a purchaser
of
the notes. The numbers appearing in the following examples have been rounded
for
ease of analysis.
Example
1:
The level of the Dow Jones EURO STOXX 50®
Index
increases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 3922, the FTSE™ 100 Index increases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 5985, and the level of the Nikkei 225 Index
increases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 13910. Because
the Ending
Underlying Level of each Component Underlying is greater than its Starting
Underlying Level, and each of the Underlying Return of 6.00% for the Dow Jones
EURO STOXX 50®
Index, 5.00% for
the FTSE™ 100 Index and 7.00% for the Nikkei 225 Index, each multiplied by 2,
does not exceed the applicable Maximum Return of 16.80%, 15.40% and 18.00%,
respectively, the Basket Return is calculated as follows:
[(6%
x 2) x 45%] +
[(5% x 2) x 30%] + [(7% x 2) x 25%] = 11.90%
Accordingly,
the
investor receives a payment at maturity of $1,119.00 per $1,000 principal amount
note, calculated as follows:
$1,000
+ ($1,000 x
11.90%) = $1,119.00
Example
2:
The level of the Dow Jones EURO STOXX 50®
Index
increases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 4440, the FTSE™ 100 Index increases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 7410, and the level of the Nikkei 225 Index
increases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 18200. Because
the Ending
Underlying Level of each Component Underlying is greater than its Starting
Underlying Level, and each of the Underlying Return of 20.00% for the Dow Jones
EURO STOXX 50®
Index, 30.00% for
the FTSE™ 100 Index and 40.00% for the Nikkei 225 Index, each multiplied by 2,
exceeds the applicable Maximum Return of 16.80%, 15.40% and 18.00%,
respectively, the Basket Return is calculated as follows:
(16.80%
x 45%) +
(15.40% x 30%) + (18.00% x 25%) = 16.68%
Accordingly,
the
investor receives a payment at maturity of $1,166.80 per $1,000 principal amount
note, which reflects the maximum payment at maturity, calculated as
follows:
$1,000
+ ($1,000 x
16.68%) = $1,166.80
Example
3:
The level of the Dow Jones EURO STOXX 50®
Index
increases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 4070, the FTSE™ 100 Index increases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 6042, and the level of the Nikkei 225 Index
increases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 13910. Because
the Ending
Underlying Level of each Component Underlying is greater than its Starting
Underlying Level, and the Underlying Return of 10.00% for the Dow Jones EURO
STOXX 50®
Index multiplied
by 2 exceeds the applicable Maximum Return of 16.80%, while each of the
Underlying Return of 6.00% for the FTSE™ 100 Index and 7.00% for the Nikkei 225
Index, each multiplied by 2, does not exceed the applicable Maximum Return
of
15.40% and 18.00%, respectively, the Basket Return is calculated as
follows:
(16.80%
x 45%) +
[(6% x 2) x 30%] + [(7% x 2) x 25%] = 14.66%
Accordingly,
the
investor receives a payment at maturity of $1,136.70 per $1,000 principal amount
note, calculated as follows:
$1,000
+ ($1,000 x
114.66%) = $1,146.60
Example
4:
The level of the Dow Jones EURO STOXX 50®
Index
decreases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 3330, the FTSE™ 100 Index decreases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 5130, and the level of the Nikkei 225 Index
decreases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 11700. Because
the Ending
Underlying Level of each Component Underlying is less than its Starting
Underlying Level by not more than 10%, the investor receives a payment at
maturity of $1,000 per $1,000 principal amount note.
Example
5:
The level of the Dow Jones EURO STOXX 50®
Index
decreases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 2590, the FTSE™ 100 Index decreases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 4560, and the level of the Nikkei 225 Index
decreases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 7800. Because
the Ending
Underlying Level of each Component Underlying is less than its Starting
Underlying Level by more than 10%, the Basket Return is calculated as
follows:
{[(-30%
+ 10%) x
1.1111] x 45%} + {[(-20% + 10%) x 1.1111] x 30%} + {[(-40% + 10%) x 1.1111)
x
25%} = -21.666%
Accordingly,
the
investor receives a payment at maturity of $783.34 per $1,000 principal amount
note, calculated as follows:
$1,000
+ ($1,000 x
-21.666%) = $783.34
Example
6:
The level of the Dow Jones EURO STOXX 50®
Index
decreases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 2590, the FTSE™ 100 Index decreases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 5130, and the level of the Nikkei 225 Index
decreases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 7800. Because
the Ending
Underlying Level of the FTSE™ 100 Index is less than its Starting Underlying
Level by not more than 10% and the Ending Underlying Level of each of the other
Component Underlyings is less than its Starting Underlying Level by more than
10%, the Basket Return is calculated as follows:
{[(-30%
+ 10%) x
1.1111] x 45%} + 0% + {[(-40% + 10%) x 1.1111) x 25%} = -18.333%
Accordingly,
the
investor receives a payment at maturity of $816.67 per $1,000 principal amount
note, calculated as follows:
$1,000
+ ($1,000 x
-18.333%) = $816.67
Example
7:
The level of the Dow Jones EURO STOXX 50®
Index
increases from a Starting Underlying Level of 3700 to an Ending Underlying
Level
of 3922, the FTSE™ 100 Index decreases from a Starting Underlying Level of 5700
to an Ending Underlying Level of 4560, and the level of the Nikkei 225 Index
decreases from a Starting Underlying Level of 13000 to an Ending Underlying
Level of 9100. Because
the Ending
Underlying Level of the Dow Jones EURO STOXX 50®
Index is greater
than its Starting Underlying Level, and the Underlying Return of 6.00%
multiplied by 2 does not exceed the applicable Maximum Return of 16.80%, and
the
Ending Underlying Level of each of the other Component Underlyings is less
than
its Starting Underlying Level by more than 10%, the Basket Return is calculated
as follows:
[(6%
x 2) x 45%] +
{[(-20% + 10%) x 1.1111] x 30%} + {[(-30% + 10%) x 1.1111) x 25%} =
-3.489%
Accordingly,
the
investor receives a payment at maturity of $965.11 per $1,000 principal amount
note, calculated as follows:
$1,000
+ ($1,000 x
-3.489%) = $965.11
JPMorgan
Structured Investments —
Notes
Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting
of
the Dow Jones EURO STOXX 50® Index,
the FTSE™ 100 Index and the Nikkei 225 Index
TS-2
Selected
Purchase Considerations
|
·
|
APPRECIATION
POTENTIAL —
The
notes
provide the opportunity to enhance equity returns by multiplying
a
positive Underlying Return for each Component Underlying by two,
up to the
Maximum Return of 16.80% for the Dow Jones EURO STOXX 50®
Index,
15.40% for the FTSE™ 100 Index and 18.00% for the Nikkei 225 Index.
Accordingly, the maximum payment at maturity is $1,166.80 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 16.80%, 15.40%
and
18.00%, respectively. 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 Underlying Level of each Component Underlying,
as
compared to the applicable Starting Underlying Level, of up to 10%.
If the
Ending Underlying Level of a Component Underlying declines by more
than
10%, for every 1% decline of the Component Underlying beyond 10%,
the
Component Return for the Basket Component linked to such Component
Underlying will be reduced by
1.1111%.
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DIVERSIFICATION
AMONG THE COMPONENT UNDERLYINGS —
Because
the
Basket Component linked to the Dow Jones EURO STOXX 50®
Index makes
up 45% 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 the Dow Jones EURO STOXX 50®
Index.
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The
return on the
notes is linked to a weighted basket consisting of three buffered return
enhanced components, each linked to the Dow Jones EURO STOXX 50®
Index, the FTSE™
100 Index and the Nikkei 225 Index, respectively. The Dow Jones EURO STOXX
50®
Index consists of
50 component stocks of market sector leaders from within the Eurozone.
The
Dow Jones EURO STOXX 50®
Index and STOXX®
are the intellectual property (including registered trademarks) of STOXX
Limited, Zurich, Switzerland, and/or Dow Jones & Company, Inc., a Delaware
corporation, New York, USA (the “Licensors”), which are used under license. The
notes are in no way sponsored, endorsed, sold or promoted by the Licensors
and
neither of the Licensors shall have any liability with respect thereto. The
FTSE™ 100 Index measures the composite price performance of stocks of the
largest 100 companies (determined on the basis of market capitalization) traded
on the London Stock Exchange. The
Nikkei 225
Index consists of 225 stocks listed on the First Section of the Tokyo Stock
Exchange and which, therefore, are among the most actively traded on that
exchange. For additional information about each Component Underlying, see the
information set forth under “The Dow Jones EURO STOXX 50®
Index,” “The FTSE™
100 Index” and “The Nikkei 225 Index” of the accompanying product supplement no.
103-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. 103-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. 103-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
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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Selected
Risk Considerations
An
investment in the notes involves significant risks. Investing in the notes
is
not equivalent to investing directly in the Basket, the Basket Components,
the
Component Underlyings or any of the component stocks of the Component
Underlyings. These risks are explained in more detail in the “Risk Factors”
section of the accompanying product supplement no. 103-I dated October 19,
2007.
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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 Component Underlyings
and
will depend on whether, and the extent to which, the Underlying Return
is
positive or negative. Your investment will be exposed on a leveraged
basis
to any decline in the Ending Underlying Level for any Component Underlying
beyond the 10% buffer as compared to the Starting Underlying
Level.
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THE
COMPONENT RETURN FOR EACH BASKET COMPONENT IS LIMITED TO THE APPLICABLE
MAXIMUM RETURN —
If
the
Ending Underlying Level of a Component Underlying is greater than
its
Starting Underlying Level, the Component Return for the Basket Component
linked to such Component Underlying will not exceed a predetermined
percentage, regardless of the appreciation in the Component Underlying,
which may be significant. We refer to this percentage for each Basket
Component as a Maximum Return, which will be set on the pricing date
and
will not be less than 16.80%, 15.40% and 18.00% for the Dow Jones
EURO
STOXX 50®
Index, the
FTSE™ 100 Index and the Nikkei 225 Index, respectively. Assuming the
Maximum Return for each Basket Component is equal to the applicable
percentage set forth in the immediately preceding sentence, you payment
at
maturity will not exceed $1,166.80 for each $1,000 principal amount
note.
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JPMorgan
Structured Investments —
Notes
Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting
of
the Dow Jones EURO STOXX 50® Index,
the FTSE™ 100 Index and the Nikkei 225 Index
TS-3
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CHANGES
IN THE VALUES OF THE COMPONENT UNDERLYINGS MAY OFFSET EACH OTHER
—
Price
movements in the Component Underlyings may not correlate with each
other.
At a time when the value of one or more of the Component Underlyings
increases, the value of the other Component Underlyings may not increase
as much or may even decline. Therefore, in calculating the Basket
Return,
increases in the value of one or more of the Component Underlyings
may be
moderated, or more than offset, by lesser increases or declines in
the
level of the other Component Underlying or Component Underlyings.
For
example, assuming the Maximum Return for each Basket Component is
equal to
the applicable percentage set forth on the front cover of this term
sheet,
the negative Component Return resulting from a 30% decline in the
Ending
Underlying Level of the Dow Jones EURO STOXX 50®
Index, as
compared to its Starting Underlying Level, would more than offset
the
positive Component Returns resulting from any and all appreciation
in both
the FTSE™ 100 Index and the Nikkei 225 Index, which appreciation may be
significant.
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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
PERIODIC INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
—
As
a holder
of the notes, you will not receive periodic 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 Component Underlyings 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
Component Underlying 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 Component Underlyings 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 Component
Underlyings;
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the
time to
maturity of the notes;
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the
dividend
rate on the common stocks underlying the Component
Underlyings;
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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
European Union euro, the British pound and the Japanese yen; 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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JPMorgan
Structured Investments —
Notes
Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting
of
the Dow Jones EURO STOXX 50® Index,
the FTSE™ 100 Index and the Nikkei 225 Index
TS-4
Historical
Information
The
following
graphs show the historical weekly performance of each Component Underlying
from
January 3, 2003 through February 8, 2008. The Index closing level of the Dow
Jones EURO STOXX 50®
Index on February
11, 2008 was 3678.16. The Index closing level of the FTSE™ 100 Index on February
11, 2008 was 5707.70. The Index closing level of the Nikkei 225 Index on
February 8, 2008 was 13017.24.
We
obtained the various Index closing levels of the Component Underlying 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 Component Underlying should not be taken
as an indication of future performance, and no assurance can be given as to
the
Index closing level of any Component Underlying on any of the Ending Averaging
Dates. We cannot give you assurance that the performance of the Component
Underlyings 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-70 of the
accompanying product supplement no. 103-I.
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.
JPMorgan
Structured Investments —
Notes
Linked to a Weighted Basket of Three Buffered Enhanced Components, Consisting
of
the Dow Jones EURO STOXX 50® Index,
the FTSE™ 100 Index and the Nikkei 225 Index
TS-5