Term
Sheet
To prospectus dated December 1, 2005, prospectus supplement dated October 12, 2006 and product supplement no. 34-VI dated February 28, 2008 |
Term
Sheet to
Product
Supplement No. 34-VI
Registration
Statement No. 333-130051
Dated
March 7, 2008; Rule 433
|
Structured
Investments |
JPMorgan
Chase & Co.
$ Reverse Exchangeable Notes due September 30, 2008 Each
Linked to the Common Stock of a Different Single Reference
Stock
Issuer
|
·
|
This
term
sheet relates to three (3) separate note offerings. Each issue
of offered
notes is linked to one, and only one, Reference Stock. You may
participate
in any of the three (3) note offerings or, at your election, in
two or
more of the offerings. This term sheet does not, however, allow
you to
purchase a note linked to a basket of some or all of the Reference
Stocks
described below.
|
·
|
The
notes are
designed for investors who seek an interest rate that is higher
than the
current dividend yield on the applicable Reference Stock or the
yield on a
conventional debt security with the same maturity issued by us
or an
issuer with a comparable credit rating. Investors should be willing
to
forgo the potential to participate in the appreciation of the applicable
Reference Stock, be willing to accept the risks of owning the common
stock
of the applicable Reference Stock issuer, and be willing to lose
some or
all of their principal at maturity.
|
· |
Investing
in
the notes is not equivalent to investing in the shares of an issuer
of any
of the Reference Stocks.
|
· |
Each
issue of
offered notes will pay interest monthly at the fixed rate specified
for
that issue below. However, the
notes do not guarantee any return of principal at
maturity.
Instead,
the payment at maturity will be based on the Final Share Price
of the
applicable Reference Stock and whether the closing price of the
applicable
Reference Stock has declined from the applicable Initial Share
Price by
more than the applicable Protection Amount during the Monitoring
Period,
as described below.
|
· |
Payment
at
maturity for each $1,000 principal amount note will be either a
cash
payment of $1,000 or delivery of shares of the applicable Reference
Stock
(or, at our election, the Cash Value thereof), in each case, together
with
any accrued and unpaid interest, as described
below.
|
· |
Minimum
denominations of $1,000 and integral multiples
thereof.
|
Payment
at
Maturity:
|
The
payment
at maturity, in excess of any accrued and unpaid interest, is based
on the
performance of the applicable Reference Stock. You will receive
$1,000 for
each $1,000 principal amount note, plus any accrued and unpaid
interest at
maturity, unless:
|
|
(1)
|
the applicable Final Share Price is less than the applicable Initial Share Price; and | |
(2)
|
on any day during the Monitoring Period, the closing price of the applicable Reference Stock has declined, as compared to the applicable Initial Share Price, by more than the applicable Protection Amount. | |
If
the
conditions described in both (1) and (2) are satisfied, at maturity
you
will receive, in addition to any accrued and unpaid interest, instead
of
the principal amount of your notes, the number of shares of the
applicable
Reference Stock equal to the applicable Physical Delivery Amount
(or, at
our election, the Cash Value thereof). Fractional shares will be
paid in
cash. The
market value of the Physical Delivery Amount or the Cash Value
thereof
will most likely be substantially less than the principal amount
of your
notes, and may be zero.
|
||
Maturity
Date:
|
September
30, 2008*
|
|
Pricing
Date:
|
On
or about
March 26, 2008
|
|
Settlement
Date:
|
On
or about
March 31, 2008
|
|
Observation
Date:
|
September
25,
2008*
|
|
Interest
Payment Dates:
|
Interest
on
the notes will be payable monthly in arrears on the last calendar
day of
each month (each such date, an “Interest Payment Date”), commencing April
30, 2008, to and including the Interest Payment Date corresponding
to the
Maturity Date. See “Selected Purchase Considerations — Monthly Interest
Payments” in this term sheet for more information.
|
|
Monitoring
Period:
|
The
period
from the Pricing Date to and including the Observation Date.
|
|
Physical
Delivery Amount:
|
The
number of
shares of the applicable Reference Stock, per $1,000 principal
amount
note, equal to $1,000 divided by the applicable Initial Share Price,
subject to adjustments.
|
|
Cash
Value:
|
For
each
Reference Stock, the amount in cash equal to the product of (1)
$1,000
divided by the Initial Share Price of such Reference Stock and
(2) the
Final Share Price of such Reference Stock, subject to
adjustments.
|
|
Initial
Share
Price:
|
The
closing
price of the applicable Reference Stock on the Pricing Date. The
Initial
Share Price is subject to adjustments in certain circumstances.
See
“Description of Notes — Payment at Maturity” and “General Terms of Notes —
Anti-dilution Adjustments” in the accompanying product supplement no.
34-VI for further information about these adjustments.
|
|
Final
Share
Price:
|
The
closing
price of the applicable Reference Stock on the Observation
Date.
|
Approximate
Tax Allocation of
Monthly
Coupon†
|
||||||||||
Page
Number
|
Ticker
Symbol
|
Principal
Amount
|
Interest
Rate
|
Protection
Amount
|
Initial
Share Price
|
CUSIP
|
Approximate
Monthly Coupon
|
Interest
on Deposit
|
Put
Premium
|
|
The
Travelers
Companies, Inc.
|
TS-3
|
TRV
|
5.75%
(equivalent to 11.50% per annum)
|
20.00%
of
the
Initial
Share
Price
|
48123MYV8
|
$9.58
|
24.52%
|
75.48%
|
||
U.S.
Bancorp
|
TS-5
|
USB
|
5.50%
(equivalent to 11.00% per annum)
|
20.00%
of
the
Initial
Share
Price
|
48123MYS5
|
$9.17
|
25.64%
|
74.36%
|
||
Verizon
Communications Inc.
|
TS-7
|
VZ
|
5.50%
(equivalent to 11.00% per annum)
|
20.00%
of
the
Initial
Share
Price
|
48123MYQ9
|
$9.17
|
25.64%
|
74.36%
|
* |
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. 34-VI.
|
† |
Based
on one
reasonable treatment of the notes, as described herein under “Selected
Purchase Considerations —
Tax
Treatment
as a Unit Comprising a Put Option and a Deposit” and in the accompanying
product supplement no. 34-VI under “Certain U.S. Federal Income Tax
Consequences” on page PS-28. The allocations presented herein were
determined as of March 6, 2008; the actual allocations will be
determined
as of the Pricing Date and may
differ.
|
Price
to Public
|
Fees
and Commissions (1)
|
Proceeds
to Us
|
|
Per
note
|
$
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) |
In
no event
will the fees and commissions received by J.P. Morgan Securities
Inc.,
which we refer to as JPMSI, which include concessions to
be allowed to
other dealers, exceed $60.00 per $1,000 principal amount
note for any of
the three (3) offerings listed above. For more detailed information
about
fees, commissions and concessions, please see “Supplemental Underwriting
Information” on the last page of this term
sheet.
|
· |
Product
supplement no. 34-VI dated February 28,
2008:
|
· |
Prospectus
supplement dated October 12,
2006:
|
· |
Prospectus
dated December 1, 2005:
|
·
|
THE
NOTES OFFER A HIGHER INTEREST RATE THAN THE YIELD ON DEBT
SECURITIES OF
COMPARABLE MATURITY ISSUED BY US OR AN ISSUER WITH A COMPARABLE
CREDIT
RATING —
The
notes
will pay interest at an Interest Rate depending upon the
applicable
Reference Stock, as indicated on the cover of this term sheet.
We believe
that the applicable Interest Rate is higher than the yield
received on
debt securities of comparable maturity issued by us or an
issuer with a
comparable credit rating. Because the notes are our senior
unsecured
obligations, any interest payment or any payment at maturity
is subject to
our ability to pay our obligations as they become
due.
|
·
|
MONTHLY
INTEREST PAYMENTS —
The
notes offer monthly interest payments at the applicable Interest
Rate set
forth on the cover of this term sheet. Interest will be payable
monthly in
arrears on the last
calendar day of each month (each such date, an “Interest Payment Date”),
commencing April 30, 2008, to
and
including the Interest Payment Date corresponding to the
Maturity
Date,
to the holders of record at the close of business on the
date 15 calendar
days prior to the applicable Interest Payment Date. If an
Interest Payment
Date is not a business day, payment will be made on the next
business day
immediately following such day, but no additional interest
will accrue as
a result of the delayed payment.
|
·
|
THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL —
Your
return
of principal at maturity is protected if the applicable Final
Share Price
does not decline from the applicable Initial Share Price
or the closing
price of the applicable Reference Stock does not decline,
as compared to
the applicable Initial Share Price, by more than the applicable
Protection
Amount on any day during the Monitoring Period. However,
if the applicable Final Share Price declines from the applicable
Initial
Share Price and the closing price of the applicable Reference
Stock on any
day during the Monitoring Period has declined by more than
the applicable
Protection Amount, you could lose the entire principal amount
of your
notes.
|
·
|
TAX
TREATMENT AS A UNIT COMPRISING A PUT OPTION AND A DEPOSIT
—
You
should
review carefully the section entitled “Certain U.S. Federal Income Tax
Consequences” in the accompanying product supplement no. 34-VI.
We
and you
agree (in the absence of an administrative determination
or judicial
ruling to the contrary)
to treat the
notes as units comprising a Put Option and a Deposit for
U.S. federal
income tax purposes. We will determine the portion of each
coupon payment
that we will allocate to interest on the Deposit and to Put
Premium,
respectively, and will provide that allocation in the pricing
supplement
for the notes. If the notes had priced on March 6, 2008,
of each coupon
payment, we would have treated the percentages specified
on the cover of
this term sheet as interest on the Deposit and as Put Premium,
respectively. The actual allocation that we will determine
for the notes
may differ from this hypothetical allocation, and will depend
upon a
variety of factors, including actual market conditions and
our borrowing
costs for debt instruments of comparable maturities on the
Pricing Date.
Assuming this characterization is respected, amounts treated
as interest
on the Deposit will be taxed as ordinary income while the
Put Premium will
not be taken into account prior to maturity or sale. However,
there are
other reasonable treatments that the Internal Revenue Service
(the “IRS”)
or a court may adopt, 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. While it is not clear whether
the notes would be viewed as similar to the typical prepaid
forward
contract described in the notice, it is possible that 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.
The notice
focuses on a number of issues, the most relevant of which
for holders of
the notes are the character of income or loss (including
whether the Put
Premium might be currently included as ordinary income) and
the degree, if
any, to which income realized by Non-U.S. Holders should
be subject to
withholding tax. Both U.S. and Non-U.S. Holders should consult
their tax
advisers regarding all aspects of the U.S. federal income
tax consequences
of an investment in the notes, including possible alternative
treatments
and the issues presented by this notice. Purchasers who are
not initial
purchasers of notes at the issue price should also consult
their tax
advisers with respect to the tax consequences of an investment
in the
notes, including possible alternative characterizations,
as well as the
allocation of the purchase price of the notes between the
Deposit and the
Put Option.
|
·
|
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
The
notes
do not guarantee any return of principal. The payment at
maturity will be
based on the applicable Final Share Price and whether the
closing price of
the applicable Reference Stock has declined from the applicable
Initial
Share Price by more than the applicable Protection Amount
on any day
during the Monitoring Period. Under certain circumstances,
you will
receive at maturity a predetermined number of shares of
the applicable
Reference Stock (or, at our election, the Cash Value thereof).
The market
value of those shares of the applicable Reference Stock
or the Cash Value
thereof will most likely be less than the principal amount
of each note
and may be zero. Accordingly,
you could lose up to the entire principal amount of your
notes.
|
·
|
YOUR
PROTECTION MAY TERMINATE ON ANY DAY DURING THE TERM OF
THE NOTES
—
If,
on any
day during the Monitoring Period, the closing price of
the applicable
Reference Stock declines below the applicable Initial Share
Price minus
the applicable Protection Amount, you will at maturity
be fully exposed to
any depreciation in the applicable Reference Stock. We
refer to this
feature as a contingent buffer. Under these circumstances,
and
if the
applicable Final Share Price is less than the applicable
Initial Share
Price, you will receive at maturity a predetermined number
of shares of
the applicable Reference Stock (or, at our election, the
Cash Value
thereof) and, consequently, you will lose 1% of the principal
amount of
your investment for every 1% decline in the applicable
Final Share Price
compared to the applicable Initial Share Price. You will
be subject to
this potential loss of principal even if the price of the
applicable
Reference Stock subsequently recovers such that the applicable
Final Share
Price is above the applicable Initial Share Price minus
the applicable
Protection Amount. If these notes had a non-contingent
buffer feature,
under the same scenario, you would have received the full
principal amount
of your notes plus accrued and unpaid interest at maturity.
As a result,
your investment in the notes may not perform as well as
an investment in a
security with a return that includes a non-contingent
buffer.
|
·
|
YOUR
RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT
PLUS ACCRUED
INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF
THE APPLICABLE
REFERENCE STOCK —
Unless
(i)
the applicable Final Share Price is less than the applicable
Initial Share
Price and (ii) on any day during the Monitoring Period,
the closing price
of the applicable Reference Stock has declined, as compared
to the
applicable Initial Share Price, by more than the applicable
Protection
Amount, for each $1,000 principal amount note, you will
receive $1,000 at
maturity plus any accrued and unpaid interest, regardless
of any
appreciation in the value of the applicable Reference Stock,
which may be
significant. Accordingly, the return on the notes may be
significantly
less than the return on a direct investment in the applicable
Reference
Stock during the term of the notes.
|
·
|
NO
OWNERSHIP RIGHTS IN THE APPLICABLE REFERENCE STOCK —
As
a holder
of the notes, you will not have any ownership interest
or rights in the
applicable Reference Stock, such as voting rights or dividend
payments. In
addition, the applicable Reference Stock issuer 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
applicable
Reference Stock and the notes.
|
·
|
NO
AFFILIATION WITH THE REFERENCE STOCK ISSUERS —
We
are not
affiliated with the issuers of the Reference Stocks. We
assume no
responsibility for the adequacy of the information about
the Reference
Stock issuers contained in this term sheet or in product
supplement no.
34-VI. You should make your own investigation into the
Reference Stocks
and their issuers. We are not responsible for the Reference
Stock issuers’
public disclosure of information, whether contained in
SEC filings or
otherwise.
|
·
|
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, and as
a general matter, the price, if any, at which 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.
This secondary
market price will also be affected by a number of factors
aside from the
agent’s commission and hedging costs, including those referred
to under
“Many Economic and Market Factors Will Impact the Value
of the Notes”
below.
|
·
|
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. 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. We and/or our affiliates may also currently or from
time to time
engage in business with the Reference Stock issuers, including
extending
loans to, or making equity investments in, such Reference
Stock issuer(s)
or providing advisory services to such Reference Stock
issuer(s). In
addition, one or more of our affiliates may publish research
reports or
otherwise express opinions with respect to the Reference
Stock issuers and
these reports may or may not recommend that investors buy
or hold the
Reference Stock(s). As a prospective purchaser of the notes,
you should
undertake an independent investigation of the applicable
Reference Stock
issuer that in your judgment is appropriate to make an
informed decision
with respect to an investment in the notes.
|
·
|
HEDGING
AND TRADING IN THE REFERENCE STOCK—
While
the
notes are outstanding, we or any of our affiliates may
carry out hedging
activities related to the notes, including in the Reference
Stocks or
instruments related to such Reference Stock(s). We or our
affiliates may
also trade in the Reference Stocks or instruments related
to Reference
Stock(s) from time to time. Any of these hedging or trading
activities as
of the Pricing Date and during the term of the notes could
adversely
affect our payment to you at
maturity.
|
·
|
MANY
ECONOMIC AND MARKET FACTORS WILL INFLUENCE THE VALUE OF
THE NOTES
—
In
addition
to the value of the applicable Reference Stock and interest
rates on any
trading 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
and which are set out in more detail in product supplement
no. 34-VI.
|
· the
Initial
Share Price:
|
$46.50 |
·
the
Protection Amount: $9.30
|
· the
Interest
Rate:
|
5.75% (equivalent to 11.50% per annum) |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Final Share Price
|
Payment
at Maturity
|
Total
Value of Payment Received at Maturity**
|
$46.50
|
$93.00
|
$1,000.00
|
$1,000.00
|
$23.25
|
$48.83
|
$1,000.00
|
$1,000.00
|
$46.50
|
$46.50
|
$1,000.00
|
$1,000.00
|
$37.20
|
$37.20
|
$1,000.00
|
$1,000.00
|
$23.25
|
$44.18
|
21
shares of
the Reference Stock or the Cash Value thereof
|
$950.11
|
$23.25
|
$23.25
|
21
shares of
the Reference Stock or the Cash Value thereof
|
$500.00
|
$11.63
|
$11.63
|
21
shares of
the Reference Stock or the Cash Value thereof
|
$250.11
|
$0.00
|
$0.00
|
21
shares of
the Reference Stock or the Cash Value thereof
|
$0.00
|
** |
Note
that you
will receive at maturity any accrued and unpaid interest
in cash, in
addition to either shares of the Reference Stock (or, at
our election, the
Cash Value thereof) or the principal amount of your note
in cash. Also
note that if you receive the Physical Delivery Amount,
the total value of
payment received at maturity shown in the table above includes
the value
of any fractional shares, which will be paid in
cash.
|
· the
Initial
Share Price:
|
$31.00 |
·
the
Protection Amount: $6.20
|
· the
Interest
Rate:
|
5.50% (equivalent to 11.00% per annum) |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Final Share Price
|
Payment
at Maturity
|
Total
Value of Payment Received at Maturity**
|
$31.00
|
$62.00
|
$1,000.00
|
$1,000.00
|
$15.50
|
$32.55
|
$1,000.00
|
$1,000.00
|
$31.00
|
$31.00
|
$1,000.00
|
$1,000.00
|
$24.80
|
$24.80
|
$1,000.00
|
$1,000.00
|
$15.50
|
$29.45
|
32
shares of
the Reference Stock or the Cash Value thereof
|
$950.00
|
$15.50
|
$15.50
|
32
shares of
the Reference Stock or the Cash Value thereof
|
$500.00
|
$7.75
|
$7.75
|
32
shares of
the Reference Stock or the Cash Value thereof
|
$250.00
|
$0.00
|
$0.00
|
32
shares of
the Reference Stock or the Cash Value thereof
|
$0.00
|
** |
Note
that you
will receive at maturity any accrued and unpaid interest
in cash, in
addition to either shares of the Reference Stock (or, at
our election, the
Cash Value thereof) or the principal amount of your note
in cash. Also
note that if you receive the Physical Delivery Amount,
the total value of
payment received at maturity shown in the table above includes
the value
of any fractional shares, which will be paid in
cash.
|
· the
Initial
Share Price:
|
$35.00 |
·
the
Protection Amount: $7.00
|
· the
Interest
Rate:
|
5.50% (equivalent to 11.00% per annum) |
Hypothetical
lowest closing price during the Monitoring Period
|
Hypothetical
Final Share Price
|
Payment
at Maturity
|
Total
Value of Payment Received at Maturity**
|
$35.00
|
$70.00
|
$1,000.00
|
$1,000.00
|
$17.50
|
$36.75
|
$1,000.00
|
$1,000.00
|
$35.00
|
$35.00
|
$1,000.00
|
$1,000.00
|
$28.00
|
$28.00
|
$1,000.00
|
$1,000.00
|
$17.50
|
$33.25
|
28
shares of
the Reference Stock or the Cash Value thereof
|
$950.00
|
$17.50
|
$17.50
|
28
shares of
the Reference Stock or the Cash Value thereof
|
$500.00
|
$8.75
|
$8.75
|
28
shares of
the Reference Stock or the Cash Value thereof
|
$250.00
|
$0.00
|
$0.00
|
28
shares of
the Reference Stock or the Cash Value thereof
|
$0.00
|
** |
Note
that you
will receive at maturity any accrued and unpaid interest
in cash, in
addition to either shares of the Reference Stock (or, at
our election, the
Cash Value thereof) or the principal amount of your note
in cash. Also
note that if you receive the Physical Delivery Amount,
the total value of
payment received at maturity shown in the table above includes
the value
of any fractional shares, which will be paid in
cash.
|