Term sheet
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Term Sheet to
Product Supplement No. 39-X Registration Statement No. 333-130051 Dated July 16, 2008; Rule 433 |
Structured |
JPMorgan Chase &
Co. $ Buffered Return Enhanced Notes Linked to the MSCI EAFE® Index due July 23, 2012 |
General
Key Terms
Index: |
The MSCI EAFE® Index (MXEA) (the Index) |
Upside Leverage Factor: |
1.42* |
Payment at Maturity: |
If the MSCI EAFE Closing Level is greater than the MSCI EAFE Starting Level, you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the MSCI EAFE Return multiplied by 1.42*. Accordingly, if the MSCI EAFE Return is positive, your payment per $1,000 principal amount note will be calculated as follows: |
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$1,000 + [$1,000 x (MSCI EAFE Return x 1.42*)] |
*The actual Upside Leverage Factor will be set on the pricing date and will not be less than 1.42. | |
Your principal is protected against up to a 20% decline of the Index at maturity. If the MSCI EAFE Closing Level declines from the MSCI EAFE Starting Level by up to 20%, you will receive the principal amount of your notes at maturity. | |
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If the MSCI EAFE Closing Level declines from the MSCI EAFE Starting Level by more than 20%, you will lose 1.25% of the principal amount of your notes for every 1% that the Index declines beyond 20% and your final payment at maturity per $1,000 principal amount note will be calculated as follows: |
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$1,000 + [$1,000 x (MSCI EAFE Return + 20%) x 1.25] |
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You will lose some or all of your principal at maturity if the MSCI EAFE Closing Level declines from the MSCI EAFE Starting Level by more than 20%. |
Buffer Amount: |
20% |
Downside Leverage Factor: |
1.25 |
MSCI EAFE Return: |
MSCI EAFE Closing
Level MSCI EAFE Starting Level |
MSCI EAFE Starting Level: |
The Index closing level on the pricing date, which is expected to be on or about July 18, 2008. |
MSCI EAFE Closing Level: |
The Index closing level on the Observation Date. |
Observation Date: |
July 18, 2012 |
Maturity Date: |
July 23, 2012 |
CUSIP: |
48123LFY5 |
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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-X. |
Investing in the Buffered Return Enhanced Notes involves a number of risks. See Risk Factors beginning on page PS-16 of the accompanying product supplement no. 39-X 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. 39-X 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.
To the extent the information contained in footnotes (1) and (2) below and in Supplemental Use of Proceeds in this term sheet differs from or conflicts with the disclosure set forth under Use of Proceeds in product supplement no. 39-X, the information in the footnotes (1) and (2) below and in Supplemental Use of Proceeds in this term sheet controls.
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Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(1) |
The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates, which includes our affiliates expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. Please see Supplemental Use of Proceeds in this term sheet for information about our projected profit resulting from hedging our obligations under the notes. |
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(2) |
The concessions we pay to other dealers will depend on market conditions on the pricing date. In no event will the concessions that may be paid to other dealers exceed $20.00 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
July 16, 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-X dated April 18, 2008. 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-X, 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. 39-X dated April 18, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000114420408023242/v111123_424b2.pdf
Prospectus supplement
dated October
12, 2006:
http://www.sec.gov/Archives/edgar/data/19617/000089109206003117/e25276_424b2.pdf
Prospectus
dated December
1, 2005:
http://www.sec.gov/Archives/edgar/data/19617/000089109205002389/e22923_base.txt
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
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JPMorgan
Structured Investments |
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 component securities of the Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 39-X dated April 18, 2008.
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JPMorgan
Structured Investments |
TS-2 |
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 MSCI EAFE Starting Level of 1850 and an Upside Leverage Factor of 1.42. 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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MSCI EAFE |
MSCI EAFE Return |
Total Return |
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3330.00 |
80.00% |
113.60% |
3145.00 |
70.00% |
99.40% |
2960.00 |
60.00% |
85.20% |
2775.00 |
50.00% |
71.00% |
2590.00 |
40.00% |
56.80% |
2405.00 |
30.00% |
42.60% |
2220.00 |
20.00% |
28.40% |
2035.00 |
10.00% |
14.20% |
1942.50 |
5.00% |
7.10% |
1850.00 |
0.00% |
0.00% |
1757.50 |
-5.00% |
0.00% |
1665.00 |
-10.00% |
0.00% |
1480.00 |
-20.00% |
0.00% |
1295.00 |
-30.00% |
-12.50% |
1110.00 |
-40.00% |
-25.00% |
925.00 |
-50.00% |
-37.50% |
740.00 |
-60.00% |
-50.00% |
555.00 |
-70.00% |
-62.50% |
370.00 |
-80.00% |
-75.00% |
185.00 |
-90.00% |
-87.50% |
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 MSCI EAFE Starting Level of 1850 to an MSCI EAFE Closing Level of 2035. Because the MSCI EAFE Closing Level of 2035 is greater than the MSCI EAFE Starting Level of 1850, the investor receives a payment at maturity of $1,142 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (10% x 1.42)] = $1,142
Example 2: The level of the Index decreases from the MSCI EAFE Starting Level of 1850 to an MSCI EAFE Closing Level of 1480. Because the MSCI EAFE Closing Level of 1480 is less than the MSCI EAFE Starting Level of 1850 by not more than the Buffer Amount of 20%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index decreases from the MSCI EAFE Starting Level of 1850 to an MSCI EAFE Closing Level of 1295. Because the MSCI EAFE Closing Level of 1295 is less than the MSCI EAFE Starting Level of 1850 by more than the Buffer Amount of 20%, the investor receives a payment at maturity of $875 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (-30% + 20%) x 1.25] = $875
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JPMorgan
Structured Investments |
TS-3 |
Historical Information
The following graph sets forth the historical performance of the MSCI EAFE® Index based on the weekly Index closing level from January 3, 2003 through July 11, 2008. The Index closing level on July 15, 2008 was 1851.32. 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 Use of Proceeds
The original issue price of the notes will include the estimated cost of hedging our obligations under the notes. The estimated cost of hedging includes the projected profit that our affiliates expect to realize in consideration for assuming the risks inherent in hedging our obligations under the notes. Our projected profit from such hedging will depend on market conditions on the pricing date but in no event will those projected profits exceed $25.00 per $1,000 principal amount note. For additional related information, please see Use of Proceeds beginning on page PS-39 of product supplement 39-X.
To the extent the information contained in this Supplemental Use of Proceeds differs from or conflicts with the disclosure set forth in Use of Proceeds in product supplement no. 39-X, the information in this Supplemental Use of Proceeds shall control.
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JPMorgan
Structured Investments |
TS-4 |