Term sheet
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Term Sheet No. 2 to
Product Supplement No. 70-II Registration Statement No. 333-130051 Dated October 9, 2007; Rule 433 |
Structured |
JPMorgan Chase & Co. $ Return Enhanced Notes Linked to the S&P GSCI Agriculture Index Excess Return due December 4, 2008 |
General
Key Terms
Index: |
The S&P GSCI Agriculture Index Excess Return (the Index), formerly known as the GSCI® Agriculture Excess Return Index |
Upside Leverage Factor: |
3 |
Payment at Maturity: |
If the S&P GSCI Agriculture Ending Level is greater than the S&P GSCI Agriculture Initial Level, you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the S&P GSCI Agriculture Return multiplied by three, subject to a Maximum Total Return on the notes of 31.00%*. For example, if the S&P GSCI Agriculture Return is more than 10.33%, you will receive the Maximum Total Return on the notes of 31.00%*, which entitles you to a maximum payment at maturity of $1,310 for every $1,000 principal amount note that you hold. Accordingly, if the S&P GSCI Agriculture 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 GSCI Agriculture Return x 3)] |
*The actual Maximum Total Return on the notes will be set on the pricing date and will not be less than 31.00%. | |
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Your investment will be fully exposed to any decline in the Index. If the S&P GSCI Agriculture Ending Level declines from the S&P GSCI Agriculture Initial Level, you will lose 1% of the principal amount of your notes for every 1% that the Index declines beyond the S&P GSCI Agriculture Initial Level. Accordingly, if the S&P GSCI Agriculture Return is negative, your payment per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 x S&P GSCI Agriculture Return) |
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You will lose some or all of your investment at maturity if the S&P GSCI Agriculture Ending Level declines from the S&P GSCI Agriculture Initial Level. |
S&P GSCI Agriculture Return: |
S&P GSCI Agriculture Ending Level S&P GSCI Agriculture Initial
Level |
S&P GSCI Agriculture Initial Level: |
The closing level of the Index on the pricing date. |
S&P GSCI Agriculture Ending Level: |
The closing level of the Index on the Observation Date. |
Observation Date: |
December 1, 2008 |
Maturity Date: |
December 4, 2008 |
CUSIP: |
48123MCG5 |
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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. 70-II. |
Investing in the Return Enhanced Notes involves a number of risks. See Risk Factors beginning on page PS-9 of the accompanying product supplement no. 70-II and Selected Risk Considerations beginning on page TS-2 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. 70-II and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.
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Price to Public |
Fees and Commissions (1) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(1) |
If the notes priced today, J.P. Morgan Securities Inc., which we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $22.50 per $1,000 principal amount note and would use a portion of that commission to allow concessions to other dealers of approximately $10.00 per $1,000 principal amount note. The actual commission received by JPMSI may be more or less than $22.50 and will depend on market conditions on the pricing date. In no event will the commission received by JPMSI, which includes concessions to be allowed to other dealers, exceed $30.00 per $1,000 principal amount note. See Underwriting beginning on page PS-42 of the accompanying product supplement no. 70-II. |
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For a different portion of the notes to be sold in this offering, a non-affiliated bank will receive a fee and an affiliate of ours will receive a structuring and development fee. If the notes priced today, the aggregate amount of these fees would be expected to be approximately $22.50 per $1,000 principal amount note. The actual amount of these fees may be more or less than $22.50 per $1,000 principal amount note and will depend on market conditions on the pricing date. In no event will the total amount of these fees exceed $30.00 per $1,000 principal amount note. |
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
October 9, 2007
ADDITIONAL TERMS SPECIFIC TO THE NOTES
You should read this term sheet together with the prospectus dated December 1, 2005, as supplemented by the prospectus supplement dated October 12, 2006 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 70-II dated February 27, 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. 70-II, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us or our refers to JPMorgan Chase & Co.
Supplemental Information
The information set forth below supplements and supersedes (as described below) the information contained in the accompanying product supplement no. 70-II.
In February 2007, Standard & Poors, a division of The McGraw-Hill Companies, which we refer to as S&P, acquired the S&P GSCI and its sub-indices, including the S&P GSCI Agriculture Index Excess Return, from Goldman Sachs & Co. The S&P GSCI was formerly known as the Goldman Sachs Commodity Index, or GSCI®, and the S&P GSCI Agriculture Index Excess Return was formerly known as the GSCI® Agriculture Excess Return Index. Accordingly, all references in the accompanying product supplement no. 70-II to:
Selected Purchase Considerations
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JPMorgan
Structured Investments
Return Enhanced Notes Linked to the S&P GSCI Agriculture Index Excess Return |
TS-1 |
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 futures contracts underlying the Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 70-II dated February 27, 2007.
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JPMorgan
Structured Investments
Return Enhanced Notes Linked to the S&P GSCI Agriculture Index Excess Return |
TS-2 |
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JPMorgan
Structured Investments
Return Enhanced Notes Linked to the S&P GSCI Agriculture Index Excess Return |
TS-3 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Index?
The following table illustrates 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 GSCI Agriculture Initial Level of 74 and a Maximum Total Return on the notes of 31.00%. 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 and examples have been rounded for ease of analysis.
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S&P GSCI |
S&P GSCI |
Total Return |
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133.20 |
80.00% |
31.00% |
122.10 |
65.00% |
31.00% |
111.00 |
50.00% |
31.00% |
103.60 |
40.00% |
31.00% |
96.20 |
30.00% |
31.00% |
88.80 |
20.00% |
31.00% |
85.10 |
15.00% |
31.00% |
81.64 |
10.33% |
31.00% |
77.70 |
5.00% |
15.00% |
75.85 |
2.50% |
7.50% |
74.74 |
1.00% |
3.00% |
74.00 |
0.00% |
0.00% |
70.30 |
-5.00% |
-5.00% |
66.60 |
-10.00% |
-10.00% |
59.20 |
-20.00% |
-20.00% |
51.80 |
-30.00% |
-30.00% |
44.40 |
-40.00% |
-40.00% |
37.00 |
-50.00% |
-50.00% |
29.60 |
-60.00% |
-60.00% |
22.20 |
-70.00% |
-70.00% |
14.80 |
-80.00% |
-80.00% |
7.40 |
-90.00% |
-90.00% |
0.00 |
-100.00% |
-100.00% |
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Hypothetical Examples of Amounts Payable at Maturity
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 increases from the S&P GSCI Agriculture Initial Level of 74 to an S&P GSCI Agriculture Ending Level of 77.70. Because the S&P GSCI Agriculture Ending Level of 77.70 is greater than the S&P GSCI Agriculture Initial Level of 74 and the S&P GSCI Agriculture Return of 5% multiplied by 3 does not exceed the hypothetical Maximum Total Return of 31.00%, the investor receives a payment at maturity of $1,150 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (5% x 3)] = $1,150
Example 2: The level of the Index increases from the S&P GSCI Agriculture Initial Level of 74 to an S&P GSCI Agriculture Ending Level of 88.80. Because the S&P GSCI Agriculture Ending Level of 88.80 is greater than the S&P GSCI Agriculture Initial Level of 74 and the S&P GSCI Agriculture Return of 20% multiplied by 3 exceeds the hypothetical Maximum Total Return of 31.00%, the investor receives a payment at maturity of $1,310 per $1,000 principal amount note, the maximum payment on the notes.
Example 3: The level of the Index decreases from the S&P GSCI Agriculture Initial Level of 74 to an S&P GSCI Agriculture Ending Level of 59.20. Because the S&P GSCI Agriculture Ending Level of 59.20 is less than the S&P GSCI Agriculture Initial Level of 74, the S&P GSCI Agriculture Return is negative and the investor receives a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x -20%) = $800
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JPMorgan
Structured Investments
Return Enhanced Notes Linked to the S&P GSCI Agriculture Index Excess Return |
TS-4 |
Historical Information
The following graph sets forth the historical performance of the S&P GSCI Agriculture Index Excess Return based on the weekly closing level from January 4, 2002 through October 5, 2007. The closing level of the Index on October 8, 2007 was 74.403. We obtained the 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.
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JPMorgan
Structured Investments
Return Enhanced Notes Linked to the S&P GSCI Agriculture Index Excess Return |
TS-5 |