Term
sheet |
Term
Sheet No. 8 to |
Structured |
JPMorgan
Chase & Co.
$ Lesser Index Annual Review Notes Linked to the S&P 500® Index and the Nikkei 225 Index due April 15, 2010 |
General
Key Terms
Indices: |
The S&P 500® Index and the Nikkei 225 Index (each an Index, and collectively the Indices). |
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Automatic Call: |
On any Review Date, if the Index closing level for each Index is greater than or equal to its respective 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. |
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Call Level: |
First
Review Date |
90%
of the Initial Index Level for each Index |
Payment if Called: |
For every $1,000 principal amount note, you will receive $1,000 plus a call premium calculated as follows:
*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 13.25%, 26.50% and 39.75%, respectively. |
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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 either Index or both Indices. If neither Ending Index Level has declined by more than 10% from its respective Initial Index Level, you will receive the principal amount of your notes at maturity. If the Ending Index Level of either Index declines by more than 10% from its respective Initial Index Level, you will lose 1.1111% of the principal amount of your notes for every 1% that the Lesser Performing Index declines beyond 10% and your payment per $1,000 principal amount note will be calculated as follows: $1,000 + [$1,000 x (the Lesser Index Return + 10%) x 1.1111] where the Lesser Index Return is the lower of the Index Return for the S&P 500® Index and the Index Return for the Nikkei 225 Index. Assuming the notes are not called, you will lose some or all of your investment at maturity if the Lesser Index Return reflects a decline of more than 10%. |
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Buffer: |
10% |
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Index Return: |
For each Index, the performance of the Index from the Initial Index Level to the Ending Index Level calculated as follows: |
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Ending
Index Level Initial Index Level |
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Initial Index Level: |
For each Index, the Index closing level on the pricing date. |
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Ending Index Level: |
For each Index, the Index closing level on the final Review Date. |
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Lesser Performing Index: |
The Index with the Lesser Index Return. |
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Review Dates: |
April 11, 2008 (first Review Date), April 13, 2009 (second Review Date) and April 12, 2010 (final Review Date) |
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Maturity Date: |
April 15, 2010 |
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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 or Description of Notes Automatic Call, as applicable, in the accompanying product supplement no. 27-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 Lesser Index Annual Review Notes involves a number of risks. See Risk Factors beginning on page PS-5 of the accompanying product supplement no. 27-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 Web site 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. 27-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.
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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. |
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
March 30, 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 December 1, 2005 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. 27-I dated March 23, 2006. 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. 27-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 Web site at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC Web site):
Our Central Index Key, or CIK, on the SEC Web site is 19617. As used in this term sheet, the Company, we, us, or our refers to JPMorgan Chase & Co.
Hypothetical Examples of Amounts Payable Upon An Automatic Call or At Maturity
The following table illustrates the hypothetical simple total return (i.e., not compounded) on the notes that could be realized on the applicable Review Date for a range of movements in the Indices as shown under the column Level of Index with Lesser Return Appreciation/Depreciation at Review Date. The following table assumes that the Index with the lesser return for the entire term of the notes will be the S&P 500® Index. We make no representation or warranty as to which of the Indices will be the Index with the lesser return for purposes of calculating your return on the notes on any Review Date or at maturity. The following table assumes a Call Level of 1260 for the Index with the lesser return on the first Review Date and a Call Level equal to a hypothetical Initial Index Level of 1400 for the Index with the lesser return on the second and final Review Dates. The table assumes that the percentages used to calculate the call price applicable to the first, second and final Review Dates are 13.25%, 26.50% and 39.75%, respectively, regardless of the appreciation of the Index with the lesser return, which may be significant; the actual percentages will be determined on the pricing date. There will be only one payment on the notes, whether called or at maturity. An entry of N/A indicates that the notes would not be called on the applicable Review Date and no payment would be made for such date. The hypothetical returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. For an automatic call to be triggered, the closing level of both Indices must be greater than or equal to their respective Call Levels on one of the Review Dates.
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Level of Index with |
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|
|
|
Lesser Return |
Total Return |
Total Return |
Total |
Level of Index |
Appreciation/ |
if called at |
if called at |
Return |
with Lesser Return |
Depreciation |
First |
Second |
at Final |
at Review Date |
at Review Date |
Review Date |
Review Date |
Review Date |
2520.00 |
80.00% |
13.25% |
26.50% |
39.75% |
2380.00 |
70.00% |
13.25% |
26.50% |
39.75% |
2240.00 |
60.00% |
13.25% |
26.50% |
39.75% |
2100.00 |
50.00% |
13.25% |
26.50% |
39.75% |
1960.00 |
40.00% |
13.25% |
26.50% |
39.75% |
1820.00 |
30.00% |
13.25% |
26.50% |
39.75% |
1680.00 |
20.00% |
13.25% |
26.50% |
39.75% |
1610.00 |
15.00% |
13.25% |
26.50% |
39.75% |
1540.00 |
10.00% |
13.25% |
26.50% |
39.75% |
1470.00 |
5.00% |
13.25% |
26.50% |
39.75% |
1400.00 |
0.00% |
13.25% |
26.50% |
39.75% |
1398.60 |
-0.10% |
13.25% |
N/A |
0.00% |
1330.00 |
-5.00% |
13.25% |
N/A |
0.00% |
1260.00 |
-10.00% |
13.25% |
N/A |
0.00% |
1190.00 |
-15.00% |
N/A |
N/A |
-5.56% |
1120.00 |
-20.00% |
N/A |
N/A |
-11.11% |
980.00 |
-30.00% |
N/A |
N/A |
-22.22% |
840.00 |
-40.00% |
N/A |
N/A |
-33.33% |
700.00 |
-50.00% |
N/A |
N/A |
-44.44% |
560.00 |
-60.00% |
N/A |
N/A |
-55.56% |
420.00 |
-70.00% |
N/A |
N/A |
-66.67% |
280.00 |
-80.00% |
N/A |
N/A |
-77.78% |
140.00 |
-90.00% |
N/A |
N/A |
-88.89% |
0.00 |
-100.00% |
N/A |
N/A |
-100.00% |
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JPMorgan
Structured Investments |
TS-1 |
The following examples illustrate how the total returns set forth in the table on the previous page are calculated.
Example 1: The level of the Index with the lesser return on the first Review Date decreases from the Initial Index Level of 1400 to an Index Closing Level of 1330 on the first Review Date. Because the Index Closing Level of the Index with the lesser return on the first Review Date of 1330 is greater than the corresponding Call Level of 1260, the notes are automatically called, and the investor receives a single payment of $1,132.50 per $1,000 principal amount note.
Example 2: The level of the Index with the lesser return decreases from the Initial Index Level of 1400 to an Index Closing Level of 1190 on the first Review Date, 1330 on the second Review Date, and 1260 on the final Review Date. Because (a) the Index Closing Level of the Index with the lesser return on the first Review Date (1190) is less than the corresponding Call Level of 1260, (b) the Index Closing Level of the Index with the lesser return on each of the other Review Dates (1330 and 1260) is less than the corresponding Call Level of 1400, and (c) the Ending Index Level of the Lesser Performing Index has not declined by more than 10% from the Initial Index Level, the notes are not called and the payment at maturity is the principal amount of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index with the lesser return decreases from the Initial Index Level of 1400 to an Index Closing Level of 1190 on the first Review Date, 1260 on the second Review Date, and 1120 on the final Review Date. Because (a) the Index Closing Level of the Index with the lesser return on the first Review Date (1190) is less than the corresponding Call Level of 1260, (b) the Index Closing Level of the Index with the lesser return on each of the other Review Dates (1260 and 1120) is less than the corresponding Call Level of 1400, and (c) the Ending Index Level of the Lesser Performing Index is more than 10% below the Initial Index Level, the notes are not called and the investor receives a payment at maturity that is less than the principal amount of each $1,000 principal amount note calculated as follows:
$1,000 + [$1,000 x (-20% + 10%) x 1.1111] = $888.89
Selected Purchase Considerations
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JPMorgan
Structured Investments Lesser Index Annual Review Notes Linked to the S&P 500® Index and the Nikkei 225 Index |
TS-2 |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Indices or any of the component stocks of the Indices. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 27-I dated March 23, 2006.
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JPMorgan
Structured Investments Lesser Index Annual Review Notes Linked to the S&P 500® Index and the Nikkei 225 Index |
TS-3 |
Historical Information
The following graphs set forth the historical performance of the S&P 500® Index based on the weekly S&P 500® Index closing level from January 4, 2002 through March 23, 2007, and the historical performance of the Nikkei 225 Index based on the weekly Nikkei 225 Index closing level from January 4, 2002 through March 23, 2007. The Index closing level of the S&P 500® Index on March 29, 2007 was 1422.53. The Index closing level of the Nikkei 225 on March 29, 2007 was 17263.94.
We obtained the various 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 Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on any Review Date. We cannot give you assurance that the performance of the 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 $32.50 per $1,000 principal amount note. See "Underwriting" beginning on page PS-25 of the accompanying product supplement no. 27-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 $32.50 per $1,000 principal amount note.
We expect that delivery of the notes will be made against payment for the notes on or about the settlement date set forth on the front cover of this term sheet, which will be the fourth business day following the expected pricing date of the notes (this settlement cycle being referred to as T+4). Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on the pricing date will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
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JPMorgan
Structured Investments Lesser Index Annual Review Notes Linked to the S&P 500® Index and the Nikkei 225 Index |
TS-4 |