|
Term
sheet
To prospectus dated December 1, 2005, prospectus supplement dated October 12, 2006 and product supplement no. 39-VIII dated December 14, 2007 |
Term
Sheet to
Product
Supplement No. No. 39-VIII
Registration
Statement No. 333-130051
Dated March 11, 2008; Rule 433 |
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Structured
Investments
|
JPMorgan
Chase & Co.
$
Buffered
Return Enhanced Notes Linked to the
S&P 500® Index due June 16,
2008
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General
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·
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The
notes are
designed for investors who seek a return of two times the appreciation
of
the S&P 500®
Index up to
a maximum total return on the notes of 7.20%* at maturity. Investors
should be willing to forgo interest and dividend payments and, if
the
Index declines by more than 5%, be willing to lose some or all of
their
principal.
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·
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Senior
unsecured obligations of JPMorgan Chase & Co. maturing June 16,
2008†.
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·
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Minimum
denominations of $20,000 and integral multiples of $1,000 in excess
thereof.
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·
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The
notes are
expected to price on or about March 11, 2008††
and are
expected to settle on or about March 14,
2008.
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Key
Terms
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Index:
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The
S&P 500® Index
(the “Index”)
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Upside
Leverage Factor:
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2
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Payment
at
Maturity:
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If
the
S&P 500 Closing Level is greater than the S&P 500 Starting Level,
you will receive a cash payment that provides you with a return per
$1,000
principal amount note equal to the S&P 500 Return multiplied by two,
subject to a Maximum Total Return on the notes of 7.20%*. For example,
if
the S&P 500 Return is more than 3.60%, you will receive the Maximum
Total Return on the notes of 7.20%*, which entitles you to a maximum
payment at maturity of $1,072 for every $1,000 principal amount note
that
you hold. Accordingly, if the S&P 500 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 (S&P 500 Return x 2)]
*The
actual
Maximum Total Return on the notes will be set on the pricing date
and will
not be less than 7.20%.
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Your
principal is protected against up to a 5% decline of the Index at
maturity. If the S&P 500 Closing Level declines from the S&P 500
Starting Level by up to 5%, you will receive the principal amount
of your
notes at maturity.
If
the
S&P 500 Closing Level declines from the S&P 500 Starting Level by
more than 5%, you will lose 1.0526% of the principal amount of your
notes
for every 1% that the Index declines beyond 5% and your final payment
per
$1,000 principal amount note will be calculated as
follows:
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$1,000
+
[$1,000 x (S&P 500 Return + 5%) x 1.0526]
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You
will
lose some or all of your investment at maturity if the S&P 500 Closing
Level declines from the S&P 500 Starting Level by more than
5%.
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Buffer
Amount:
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5%
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Downside
Leverage Factor:
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1.0526
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S&P
500
Return:
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The
performance of the Index from the S&P 500 Starting Level to the
S&P 500 Closing Level, calculated as
follows:
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S&P
500 Closing Level - S&P 500 Starting Level
S&P
500
Starting Level
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S&P
500
Starting Level:
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The
Index
closing level on the pricing date.
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S&P
500
Closing Level:
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The
Index
closing level on the Observation Date.
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Observation
Date†:
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June
11,
2008
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Maturity
Date†:
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June
16,
2008
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CUSIP:
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†
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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. 39-VIII.
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††
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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.”
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Investing
in the Buffered Return Enhanced Notes involves a number of risks. See “Risk
Factors” beginning on page PS-13 of the accompanying product supplement no.
39-VIII 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. 39-VIII 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
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Fees
and Commissions (1)
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Proceeds
to Us
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Per
note
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$
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$
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$
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Total
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$
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$
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$
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(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
11,
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. 39-VIII dated December
14, 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. 39-VIII, 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):
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·
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Product
supplement no. 39-VIII dated December 14,
2007:
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·
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Prospectus
supplement dated October 12, 2006:
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·
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Prospectus
dated December 1, 2005:
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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 Index?
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 an S&P 500 Starting Level of 1250 and a Maximum Total Return on the
notes of 7.20%. 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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S&P
500 Closing
Level
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S&P
500 Return
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Total
Return
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2250.00
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80.00%
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7.200%
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2062.50
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65.00%
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7.200%
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1875.00
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50.00%
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7.200%
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1750.00
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40.00%
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7.200%
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1562.50
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25.00%
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7.200%
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1500.00
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20.00%
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7.200%
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1437.50
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15.00%
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7.200%
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1375.00
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10.00%
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7.200%
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1312.50
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5.00%
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7.200%
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1295.00
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3.60%
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7.200%
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1262.50
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1.00%
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2.000%
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1250.00
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0.00%
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0.000%
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1187.50
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-5.00%
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0.000%
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1125.00
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-10.00%
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-5.263%
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1000.00
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-20.00%
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-15.789%
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875.00
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-30.00%
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-26.315%
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750.00
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-40.00%
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-36.841%
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625.00
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-50.00%
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-47.367%
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500.00
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-60.00%
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-57.893%
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375.00
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-70.00%
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-68.419%
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250.00
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-80.00%
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-78.945%
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125.00
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-90.00%
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-89.471%
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0.00
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-100.00%
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-99.997%
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JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500® 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 Index increases from the S&P 500 Starting Level of 1250 to
an S&P 500 Closing Level of 1262.50. Because
the S&P
500 Closing Level of 1262.50 is greater than the S&P 500 Starting Level of
1250 and the S&P 500 Return of 1% multiplied by 2 does not exceed the
hypothetical Maximum Total Return of 7.20%, the investor receives a payment
at
maturity of $1,020 per $1,000 principal amount note, calculated as
follows:
$1,000
+ [$1,000 x
(1% x 2)] = $1,020
Example
2:
The level of the Index decreases from the S&P 500 Starting Level of 1250 to
an S&P 500 Closing Level of 1187.50. Because
the S&P
500 Closing Level of 1187.50 is less than the S&P 500 Starting Level of 1250
by not more than the Buffer Amount of 5%, the investor receives a payment at
maturity of $1,000 per $1,000 principal amount note.
Example
3:
The level of the Index increases from the S&P 500 Starting Level of 1250 to
an S&P 500 Closing Level of 1500.
Because the
S&P 500 Closing Level of 1500
is greater than
the S&P 500 Starting Level of 1250 and the S&P 500 Return of 20%
multiplied by 2 exceeds the hypothetical Maximum Total Return of 7.20%, the
investor receives a payment at maturity of $1,072 per $1,000 principal amount
note, the maximum payment on the notes.
Example
4:
The level of the Index decreases from the S&P 500 Starting Level of 1250 to
an S&P 500 Closing Level of 1125.
Because the
S&P 500 Closing Level of 1125 is less than the S&P 500 Starting Level of
1250 by more than the Buffer Amount of 5%, the
S&P 500
Return is negative and the investor receives a payment at maturity of $947.37
per $1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000 x
(-10% + 5%) x 1.0526] = $947.37
Selected
Purchase Considerations
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·
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APPRECIATION
POTENTIAL —
The
notes
provide the opportunity to enhance equity returns by multiplying
a
positive S&P 500 Return by two, up to the Maximum Total Return on the
notes of 7.20%, or $1,072 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 7.20%. 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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·
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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 S&P 500 Closing Level, as compared to the S&P 500
Starting Level, of up to 5%. If the S&P 500 Closing Level declines by
more than 5%, for every 1% decline of the Index beyond 5%, you will
lose
an amount equal to 1.0526% of the principal amount of your notes.
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·
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DIVERSIFICATION
OF THE S&P 500®
INDEX —
The return on the notes is linked to the S&P 500®
Index. The S&P 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®
Index” in the accompanying product supplement no.
39-VIII.
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·
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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. 39-VIII. 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 product supplement no. 39-VIII 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 short-term capital gain or
loss,
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
and the
degree, if any, to which income (including any mandated accruals)
realized
by Non-U.S. Holders should be subject to withholding tax. 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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JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500® 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 Index or any of the component stocks
of the Index. These risks are explained in more detail in the “Risk Factors”
section of the accompanying product supplement no. 39-VIII dated December 14,
2007.
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·
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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 Index and will depend
on
whether, and the extent to which, the S&P 500 Return is positive or
negative. Your investment will be exposed on a leveraged basis to
any
decline in the S&P 500 Closing Level beyond the 5% buffer as compared
to the S&P 500 Starting Level.
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|
·
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YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL RETURN
—
If
the
S&P 500 Closing Level is greater than the S&P 500 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
7.20%.
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·
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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
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.
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|
·
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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.
|
|
·
|
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. In addition, we are currently
one of the companies that make up the Index. 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
expected
volatility of the Index;
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|
·
|
the
time to
maturity of the notes;
|
|
·
|
the
dividend
rate on the common stocks underlying the
Index;
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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; and
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|
·
|
our
creditworthiness, including actual or anticipated downgrades in our
credit
ratings.
|
|
·
|
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.
|
JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500® Index
TS-3
Historical
Information
The
following graph
sets forth the historical performance of the S&P 500®
Index based on the
weekly historical Index closing level from January 3, 2003 through March 7,
2008. The Index closing level on March 10, 2008 was 1273.37. We obtained the
Index closing levels below from Bloomberg Financial Markets. We make no
representation or warranty as to the accuracy or completeness of the information
obtained from Bloomberg Financial Markets.
The
historical
levels of the Index should not be taken as an indication of future performance,
and no assurance can be given as to the Index closing level on the Observation
Date. We cannot give you assurance that the performance of the Index 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 $6.00
per
$1,000 principal amount note. See “Underwriting” beginning on page PS-122 of the
accompanying product supplement no. 39-VIII.
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 $6.00
per $1,000
principal amount note.
JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500® Index
TS-4