Term sheet
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Term Sheet No. 1 to
Product Supplement No. 39-VII Registration Statement No. 333-130051 Dated December 7, 2007; Rule 433 |
Structured |
JPMorgan
Chase & Co. $ Buffered Return Enhanced Notes Linked to the Vanguard® Emerging Markets ETF due December 10, 2010 |
General
Key Terms
Index Fund: |
Vanguard® Emerging Markets ETF (the Basket Fund or Index Fund) |
Upside Leverage Factor: |
2 |
Payment at Maturity: |
If the Vanguard Emerging Markets Final Share Price is greater than the Vanguard Emerging Markets Initial Share Price, you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Vanguard Emerging Markets Return multiplied by 2, subject to a Maximum Total Return on the notes of 80%*. For example, if the Vanguard Emerging Markets Return is more than 40%, you will receive the Maximum Total Return on the notes of 80%*, which entitles you to a maximum payment at maturity of $1,800 for every $1,000 principal amount note that you hold. Accordingly, if the Vanguard Emerging Markets Return is positive, your payment per $1,000 principal amount note will be calculated as follows, subject to the Maximum Total Return: |
$1,000 + [$1,000 x (Vanguard Emerging Markets Return x 2)] | |
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*The actual Maximum Total Return on the notes will be set on the pricing date and will not be less than 80%. |
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Your principal is protected against up to a 10% decline of the Index Fund at maturity. If the Vanguard Emerging Markets Final Share Price declines from the Vanguard Emerging Markets Initial Share Price by up to 10%, you will receive the principal amount of your notes at maturity. If the Vanguard Emerging Markets Final Share Price declines from the Vanguard Emerging Markets Initial Share Price by more than 10%, you will lose 1% of the principal amount of your notes for every 1% that the Index Fund declines beyond 10% and your final payment per $1,000 principal amount note will be calculated as follows: |
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$1,000 + [$1,000 x (Vanguard Emerging Markets Return + 10%)] |
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If the Vanguard Emerging Markets Final Share Price declines from the Vanguard Emerging Markets Initial Share Price by more than 10%, you could lose up to $900 per $1,000 principal amount note. |
Buffer Amount: |
10%, which results in a minimum payment of $100 per $1,000 principal amount note. |
Vanguard Emerging Markets Return: |
Vanguard
Emerging Markets Final Share Price Vanguard Emerging Markets Initial Share
Price |
Vanguard Emerging Markets Initial Share Price: |
The closing price of one share of the Index Fund on the pricing date. |
Vanguard Emerging Markets Final Share Price: |
The closing price of one share of the Index Fund on the Observation Date times the Share Adjustment Factor on such date. |
Share Adjustment Factor: |
1.0 on the pricing date and subject to adjustment under certain circumstances. See Description of Notes Payment at Maturity and General Terms of Notes Anti-Dilution Adjustments in the accompanying product supplement no. 39-VII for further information about these adjustments. |
Observation Date: |
December 7, 2010 |
Maturity Date: |
December 10, 2010 |
CUSIP: |
48123MKX9 |
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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-VII. |
Investing in the Buffered Return Enhanced Notes involves a number of risks. See Risk Factors beginning on page PS-11 of the accompanying product supplement no. 39-VII and Selected Risk Considerations beginning on page TS-1 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-VII 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 $21.00 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other dealers of approximately $10.00 per $1,000 principal amount note. The actual commission received by JPMSI may be less than $21.00 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 $21.00 per $1,000 principal amount note. See Underwriting beginning on page PS-94 of the accompanying product supplement no. 39-VII. |
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
December 7, 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. 39-VII dated December 7, 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-VII, 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.
Selected Purchase Considerations
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index Fund or any of the equity securities held by the Index Fund. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 39-VII dated December 7, 2007.
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JPMorgan
Structured Investments
Buffered Return Enhanced Notes Linked to the Vanguard® Emerging Markets ETF due December 10, 2010 |
TS-1 |
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JPMorgan
Structured Investments
Buffered Return Enhanced Notes Linked to the Vanguard® Emerging Markets ETF due December 10, 2010 |
TS-2 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Index Fund?
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 a Vanguard Emerging Markets Initial Share Price of $110.00 and a Maximum Total Return on the notes of 80%. 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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Vanguard |
Vanguard |
Total Return |
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$198.00 |
80.00% |
80.00% |
$181.50 |
65.00% |
80.00% |
$165.00 |
50.00% |
80.00% |
$154.00 |
40.00% |
80.00% |
$143.00 |
30.00% |
60.00% |
$132.00 |
20.00% |
40.00% |
$121.00 |
10.00% |
20.00% |
$115.50 |
5.00% |
10.00% |
$112.75 |
2.50% |
5.00% |
$110.00 |
0.00% |
0.00% |
$104.50 |
-5.00% |
0.00% |
$99.00 |
-10.00% |
0.00% |
$88.00 |
-20.00% |
-10.00% |
$77.00 |
-30.00% |
-20.00% |
$66.00 |
-40.00% |
-30.00% |
$55.00 |
-50.00% |
-40.00% |
$44.00 |
-60.00% |
-50.00% |
$33.00 |
-70.00% |
-60.00% |
$22.00 |
-80.00% |
-70.00% |
$11.00 |
-90.00% |
-80.00% |
$0.00 |
-100.00% |
-90.00% |
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Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The closing price of one share of the Index Fund increases from the Vanguard Emerging Markets Initial Share Price of $110.00 to a Vanguard Emerging Markets Final Share Price of $115.50. Because the Vanguard Emerging Markets Final Share Price of $115.50 is greater than the Vanguard Emerging Markets Initial Share Price of $110.00 and the Vanguard Emerging Markets Return of 5% multiplied by 2 does not exceed the hypothetical Maximum Total Return of 80%, the investor receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (5% x 2)] = $1,100
Example 2: The closing price of one share of the Index Fund decreases from the Vanguard Emerging Markets Initial Share Price of $110.00 to a Vanguard Emerging Markets Final Share Price of $99.00. Because the Vanguard Emerging Markets Final Share Price of $99.00 is less than the Vanguard Emerging Markets Initial Share Price of $110.00 by not more than the Buffer Amount of 10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The closing price of one share of the Index Fund increases from the Vanguard Emerging Markets Initial Share Price of $110.00 to a Vanguard Emerging Markets Final Share Price of $165.00. Because the Vanguard Emerging Markets Final Share Price of $165.00 is greater than the Vanguard Emerging Markets Initial Share Price of $110.00 and the Vanguard Emerging Markets Return of 50% multiplied by 2 exceeds the hypothetical Maximum Total Return of 80%, the investor receives a payment at maturity of $1,800 per $1,000 principal amount note, the maximum payment on the notes.
Example 4: The closing price of one share of the Index Fund decreases from the Vanguard Emerging Markets Initial Share Price of $110.00 to a Vanguard Emerging Markets Final Share Price of $77.00. Because the Vanguard Emerging Markets Final Share Price of $77.00 is less than the Vanguard Emerging Markets Initial Share Price of $110.00 by more than the Buffer Amount of 10%, the Vanguard Emerging Markets 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 (-30% + 10%)] = $800
Example 5: The closing price of one share of the Index Fund decreases from the Vanguard Emerging Markets Initial Share Price of $110.00 to a Vanguard Emerging Markets Final Share Price of $0. Because the Vanguard Emerging Markets Final Share Price of $0 is less than the Vanguard Emerging Markets Initial Share Price of $110.00 by more than the Buffer Amount of 10%, the Vanguard Emerging Markets Return is negative and the investor receives a payment at maturity of $100 per $1,000 principal amount note, which reflects the principal protection provided by the Buffer Amount of 10%, calculated as follows:
$1,000 + [$1,000 x (-100% + 10%)] = $100
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JPMorgan
Structured Investments
Buffered Return Enhanced Notes Linked to the Vanguard® Emerging Markets ETF due December 10, 2010 |
TS-3 |
Historical Information
The following graph sets forth the historical performance of the Vanguard® Emerging Markets ETF based on the weekly closing price of one share of the Index Fund from March 11, 2005 through November 30, 2007. The closing price of one share of the Index Fund on December 6, 2007 was $112.35. We obtained the Index Fund closing prices 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 closing prices per share of the Index Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of the Index Fund on the Observation Date. We cannot give you assurance that the performance of the Index Fund will result in the return of any of your initial investment in excess of $100 per $1,000 principal amount note.
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JPMorgan
Structured Investments
Buffered Return Enhanced Notes Linked to the Vanguard® Emerging Markets ETF due December 10, 2010 |
TS-4 |