Term sheet |
Term Sheet No. 1 to Product Supplement No. 96-I Registration Statement No. 333-130051 Dated November 21, 2007; Rule 433 |
Structured |
JPMorgan Chase & Co. $ Range Accrual Notes linked to the SIFMA Municipal Swap Index and the 3-month LIBOR due November 28, 2012 |
General
Key Terms
Maturity Date: |
November 28, 2012, or if such day is not a business day, the next succeeding business day. |
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Payment at Maturity: |
At maturity you will receive a cash payment for each $1,000 principal amount note of $1,000 plus any accrued and unpaid interest. |
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Interest: |
With respect to each Interest Period, for each $1,000 principal amount note, the interest payment will be calculated as follows: $1,000 x Interest Rate x (number of days in the Interest Period / 360), where the number of days in the Interest Period will be calculated on the basis of a year of 360 days with twelve months of thirty days each. |
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Interest Rate: |
With respect to each Interest Period, a rate per annum equal to the product of (1) the Interest Factor of 7.00% per annum and (2) the Variable Days divided by the number of days in the Interest Period. The Interest Rate for each Interest Period will be calculated as follows: |
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Interest Factor x | Variable Days
number of days in the Interest Period |
, where | |
Variable Days is the number of calendar days during the relevant Interest Period on which the Accrual Provision is satisfied and the number of days in the Interest Period will be calculated on the basis of a year of 360 days with twelve months of thirty days each. | |||
Interest Factor: |
7.00% per annum. |
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Interest Period: |
The period beginning on and including the issue date of the notes and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date. |
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Interest Payment Dates: |
Interest on the notes will be payable semi-annually in arrears on the 28th calendar day of May and November of each year (each such date, an Interest Payment Date), commencing May 28, 2008, to and including the Interest Payment Date corresponding to the Maturity Date. See Selected Purchase Considerations Semi-Annual Interest Payments in this term sheet for more information. |
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Accrual Provision: |
The Accrual Provision shall be deemed satisfied on each calendar day during an Interest Period on which the SIFMA/LIBOR Provision is satisfied. |
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SIFMA/LIBOR Provision: |
The SIFMA/LIBOR Provision shall be deemed satisfied on each calendar day in the calendar week immediately following the calendar week in which such SIFMA/LIBOR Determination Date occurs on which the Average SIFMA/Average LIBOR Ratio on the applicable SIFMA/LIBOR Determination Date is less than or equal to the Specified SIFMA/LIBOR Percentage of 73.00%. Notwithstanding the preceding sentence, if Average LIBOR on any SIFMA/LIBOR Determination Date is less than or equal to the Specified Average LIBOR Rate of 3.00%, then the SIFMA/LIBOR Provision shall be deemed satisfied for each calendar day in the calendar week immediately following the calendar week in which such SIFMA/LIBOR Determination Date occurs. |
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Other Key Terms: |
Please see Additional Key Terms in this term sheet for other key terms. |
Investing in the Range Accrual Notes involves a number of risks. See Risk Factors beginning on page PS-11 of the accompanying product supplement no. 96-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 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. 96-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 |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(1) | J.P. Morgan Securities Inc., which we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., will forgo any commission in connection with the offering of the notes. See Underwriting beginning on page PS-28 of the accompanying product supplement no. 96-I. |
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
November 21, 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. 96-I dated September 25, 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. 96-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 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.
Additional Key Terms
Specified SIFMA/LIBOR Percentage: |
73.00%. |
Specified Average LIBOR Rate: |
3.00%. |
Average SIFMA/Average LIBOR Ratio: |
For each SIFMA/LIBOR Determination Date, the ratio of the Average SIFMA Level to Average LIBOR, expressed as a percentage, on such SIFMA/LIBOR Determination Date, as determined by the calculation agent. |
Average SIFMA Level: |
On any SIFMA/LIBOR Ratio Determination Date, the daily weighted average of the Index levels of the SIFMA Municipal Swap Index for each calendar day in the SIFMA/LIBOR Averaging Period. For the purposes of calculating the Average SIFMA Level, the Index level of the SIFMA Municipal Swap Index for each calendar day in the SIFMA/LIBOR Averaging Period will be based on the Index level of the SIFMA Municipal Swap Index on the applicable SIFMA/LIBOR Determination Date. The Index level of the SIFMA Municipal Swap Index is reset weekly on each SIFMA Determination Date; however, the average calculation is measured daily for each calendar day in the SIFMA/LIBOR Averaging Period. If on such SIFMA/LIBOR Determination Date the applicable Average SIFMA Level cannot be determined by reference to the SIFMA Municipal Swap Index (or any successor thereto), then the calculation agent will determine the applicable Average SIFMA Level in accordance with the procedures set forth in the accompanying product supplement no. 96-I under SIFMA Municipal Swap Index. |
LIBOR Rate: |
For each SIFMA/LIBOR Determination Date, the LIBOR Rate refers to the London Interbank Offer Rate for deposits in U.S. dollars with the Designated Maturity of three months that appears on Reuters page LIBOR01 (or any successor page) at approximately 11:00 a.m., London time, on such SIFMA/LIBOR Determination Date, as determined by the calculation agent. If on such SIFMA/LIBOR Determination Date the applicable LIBOR Rate cannot be determined by reference to Reuters page LIBOR01 (or any successor page), then the calculation agent will determine the applicable LIBOR Rate in accordance with the procedures set forth in the accompanying product supplement no. 96-I under Description of Notes Interest The Underlying Rates LIBOR Rate. |
Average LIBOR: |
On any SIFMA/LIBOR Ratio Determination Date, the daily weighted average of the applicable LIBOR Rates for each calendar day in the SIFMA/LIBOR Averaging Period. For the purposes of calculating the Average LIBOR, the determination of the applicable LIBOR Rate for each calendar day in the Averaging Period will be based on such LIBOR Rate on the applicable SIFMA/LIBOR Determination Date. The applicable LIBOR Rate will be reset weekly on each SIFMA/LIBOR Determination Date; however, the average calculation is measured daily for each calendar day in the SIFMA/LIBOR Averaging Period. |
SIFMA/LIBOR Ratio Determination Date: |
For each calendar day in an Interest Period, two U.S. Government Securities Business Days prior to such calendar day. However, if any day so specified is not a U.S. Government Securities Business Day, the applicable SIFMA/LIBOR Ratio Determination Date will be the immediately preceding U.S. Government Securities Business Day. |
SIFMA/LIBOR Determination Date: |
For each calendar day in the SIFMA/LIBOR Averaging Period, the immediately preceding Thursday. However, if such day is not (i) with respect to the Average SIFMA Level, a U.S. Government Securities Business Day, the applicable SIFMA/LIBOR Determination Date will be the immediately preceding U.S. Government Securities Business Day or (ii) with respect to the Average LIBOR, a London Business Day, the applicable SIFMA/LIBOR Determination Date will be the immediately preceding London Business Day. |
SIFMA Municipal Swap Index: |
The Securities Industry and Financial Markets Association Municipal Swap Index, or the SIFMA Municipal Swap Index, was created by SIFMA and produced by Municipal Market Data, or MMD, a Thomson Financial Services company. The SIFMA Municipal Swap Index is a seven-day high-grade market index composed of tax-exempt variable-rate demand obligations, or VRDOs, from MMDs database of VRDO issues. The Index level of the SIFMA Municipal Swap Index is calculated on a weekly basis, and released to subscribers on Thursday. See the accompanying product supplement no. 96-I under SIFMA Municipal Swap Index. |
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JPMorgan
Structured Investments
Range Accrual Notes Linked to the SIFMA Municipal Swap Index and the 3-Month LIBOR |
TS-2 |
SIFMA/LIBOR Averaging Period: |
With respect to any SIFMA/LIBOR Determination Date, the preceding 180 calendar days (including the date of determination). |
Designated Maturity: |
Three months. |
U.S. Government Securities Business Day: |
Any day other than a Saturday, Sunday or a day on which SIFMA recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities. |
London Business Day: |
Any day other than a day on which banking institutions in London are authorized or required by law, regulation or executive order to close. |
CUSIP: |
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Selected Purchase Considerations
Selected Risk Considerations
An investment in the notes involves significant risks. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 96-I dated September 25, 2007.
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JPMorgan
Structured Investments
Range Accrual Notes Linked to the SIFMA Municipal Swap Index and the 3-Month LIBOR |
TS-3 |
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JPMorgan
Structured Investments
Range Accrual Notes Linked to the SIFMA Municipal Swap Index and the 3-Month LIBOR |
TS-4 |
Hypothetical Examples of Calculation of the Interest Rate on the Notes for an Interest Period
The following examples illustrate how to calculate the Interest Rate on the notes for an Interest Period. For purposes of the following examples, we have assumed that there are 180 days in the applicable Interest Period and that the Average LIBOR is greater than the Specified Average LIBOR Rate of 3.00% on each calendar day during such Interest Period. The hypothetical Average SIFMA/Average LIBOR Ratios and Interest Rates in the following examples are for illustrative purposes only and may not correspond to the actual Average SIFMA/Average LIBOR Ratios or Interest Rates for any Interest Period applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1: The Average SIFMA/Average LIBOR Ratio is less than or equal to the Specified SIFMA/LIBOR Percentage on 70 calendar days during the Interest Period. Because the Accrual Provision is satisfied for 70 calendar days, the Interest Rate for the Interest Period is 2.72%, calculated as follows:
7.00% x [ 70 / 180 ] = 2.72%
Example 2: The Average SIFMA/Average LIBOR Ratio is less than or equal to the Specified SIFMA/LIBOR Percentage on 100 calendar days during the Interest Period. Because the Accrual Provision is satisfied for 100 calendar days, the Interest Rate for the Interest Period is 3.89%, calculated as follows:
7.00% x [ 100 / 180 ] = 3.89%
Example 3: The Average SIFMA/Average LIBOR Ratio is greater than the Specified SIFMA/LIBOR Percentage on each calendar day during the Interest Period. Because the Accrual Provision is not satisfied on any calendar day, the Interest Rate for the Interest Period is 0.00%.
Historical Information
The graph on the following page sets forth the historical Average SIFMA/Average LIBOR Ratio for the 180-calendar day periods ending on the last calendar day of each month, from January 31, 2002 through October 31, 2007. The graph also sets forth the historical Average LIBOR for the 180-calendar day periods ending on the last calendar day of each month, from January 31, 2002 through October 31, 2007. The Index level of the SIFMA Municipal Swap Index on November 15, 2007 was 3.54%. The LIBOR Rate on November 15, 2007 was 4.905%.
For purposes of such graphs, the Average SIFMA/Average LIBOR Ratio and the Average LIBOR are calculated in the same manner as the notes, as described above.
We obtained the Index levels of the SIFMA Municipal Swap Index and the LIBOR Rates used to construct the graphs 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 Average SIFMA/Average LIBOR Ratio (including the implied historical Average SIFMA Level) and the Average LIBOR should not be taken as an indication of future performance, and no assurance can be given as to the Average SIFMA/Average LIBOR Ratio or the Average LIBOR on any of the SIFMA/LIBOR Ratio Determination Dates or SIFMA/LIBOR Determination Dates, as applicable. We cannot give you assurance that the performance of the Average SIFMA/Average LIBOR Ratio or the Average LIBOR will result in any positive interest payments in any Interest Period.
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JPMorgan
Structured Investments
Range Accrual Notes Linked to the SIFMA Municipal Swap Index and the 3-Month LIBOR |
TS-5 |
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JPMorgan
Structured Investments
Range Accrual Notes Linked to the SIFMA Municipal Swap Index and the 3-Month LIBOR |
TS-6 |