View:
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Term
sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated December 1, 2005 and
product
supplement no. 20-I dated March 21, 2006
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Term
Sheet No. 35 to
Product
Supplement No. 20-I
Registration
Statement No. 333-130051
Dated
February 19, 2008; Rule
433
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Structured
Investments
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JPMorgan
Chase & Co.
$
Annual Review
Notes Linked to the S&P 500® Index due March 8,
2011
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General
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·
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The
notes are
designed for investors who seek early exit prior to maturity at a
premium
if, on any one of the three annual Review Dates, the
S&P 500® Index
is at or above the Call Level applicable to that Review Date. If
the notes
are not called, investors are protected against up to a 10% decline
of the
Index on the final Review Date but will lose some or all of their
principal if the Index declines by more than 10%. Investors in the
notes
should be willing to accept this risk of loss, and be willing to
forgo
interest and dividend payments, in exchange for the opportunity to
receive
a premium payment if the notes are
called.
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·
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The
first
Review Date, and therefore the earliest date on which a call may
be
initiated, is March 3, 2009.
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·
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Senior
unsecured obligations of JPMorgan Chase & Co. maturing March 8,
2011†.
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·
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Minimum
denominations of $20,000 and integral multiples of $1,000 in excess
thereof.
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·
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The
notes are
expected to price on or about February 22, 2008††
and are
expected to settle on or about February 27,
2008.
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Key
Terms
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Index:
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The
S&P 500® Index
(the “Index”)
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Automatic
Call:
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If
the Index
closing level on any Review Date is greater than or equal to the
Call
Level, the notes will be automatically called for a cash payment
per note
that will vary depending on the applicable Review Date and call
premium.
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Call
Level:
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90%
of the
Initial Index Level for the first Review Date. 100% of the Initial
Index
Level for the second Review Date and the final Review
Date.
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Payment
if
Called:
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For
every
$1,000 principal amount note, you will receive one payment of $1,000
plus
a call premium calculated as follows:
•
at
least
9.80%*
x $1,000 if
called on the first Review Date
•
at
least
19.60%*
x $1,000 if
called on the second Review Date
•
at
least
29.40%*
x $1,000 if
called on the final Review Date
*The
actual
percentage applicable to the first, second and final Review Dates
will be
determined on the pricing date but will not be less than 9.80%, 19.60%
and
29.40%, respectively.
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Payment
at
Maturity:
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If
the notes
are not called and a mandatory redemption is not triggered, your
principal
is protected at maturity against up to a 10% decline of the Index.
If the
Ending Index Level has declined by up to 10% from the Initial Index
Level,
you will receive the principal amount of your notes at maturity.
If the
Ending Index Level declines by more than 10%, you will lose 1.1111%
of the
principal amount of your notes for every 1% that the Index declines
beyond
10% and your payment per $1,000 principal amount note will be calculated
as follows:
$1,000
+
[$1,000 x (Index Return + 10%) x 1.1111]
Assuming
the notes are not called, you will lose some or all of your investment
at
maturity if the Index Return reflects a decline of more than
10%.
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Buffer:
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10%
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Index
Return:
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The
performance of the Index from the Initial Index Level to the Ending
Index
Level calculated as follows:
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Ending
Index Level - Initial Index Level
Initial
Index
Level
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Initial
Index
Level:
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The
Index
closing level on the pricing date.
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Ending
Index
Level:
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The
Index
closing level on the final Review Date.
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Review
Dates†:
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March
3, 2009
(first Review Date), March 3, 2010 (second Review Date) and March
3, 2011
(final Review Date).
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Maturity
Date†:
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March
8,
2011
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CUSIP:
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†
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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” or “Description of
Notes — Automatic Call,” as applicable, in the accompanying product
supplement no. 20-I.
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††
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The
pricing
of the notes is subject to our special tax counsel delivering to
us their
opinion as described under “Selected Purchase Considerations — Capital
Gains Tax Treatment.”
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Investing
in the Annual Review Notes involves a number of risks. See “Risk Factors”
beginning on page PS-4 of the accompanying product supplement no. 20-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. 20-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
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Fees
and Commissions (1)
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Proceeds
to Us
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Per
note
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$
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$
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$
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Total
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$
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$
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$
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(1)
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Please
see
“Supplemental Underwriting Information” in this term sheet for information
about fees and commissions.
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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
February
19,
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 December 1, 2005 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. 20-I dated March 21,
2006. 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. 20-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.govas
follows (or if
such address has changed, by reviewing our filings for the relevant date on
the
SEC website):
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·
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Product
supplement no. 20-I dated March 21, 2006:
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·
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Prospectus
supplement dated December 1, 2005:
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·
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Prospectus
dated December 1, 2005:
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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.
Hypothetical
Examples of Amounts Payable upon Automatic Call or at
Maturity
The
following table
illustrates the hypothetical simple total return (i.e.,
not compounded)
on the notes that could be realized on the applicable Review Date for a range
of
movements in the Index as shown under the column “Index Level
Appreciation/Depreciation at Review Date.” The
following table
assumes a Call Level of 1215 on the first Review Date and a Call Level equal
to
a hypothetical Initial Index Level of 1350 on the second and final Review Dates.
The table assumes that the percentages used to calculate the call price
applicable to the first, second and final Review Dates are 9.80%, 19.60% and
29.40%, respectively, regardless of the appreciation of the Index, which may
be
significant; the actual percentages will be determined on the pricing
date.
There will be only one payment on the notes whether called or at maturity.
An
entry of “N/A” indicates that the notes would not be called on the applicable
Review Date and no payment would be made for such date. The hypothetical returns
set forth below are for illustrative purposes only and may not be the actual
total returns applicable to a purchaser of the notes.
JPMorgan
Structured Investments —
Annual Review
Notes Linked to the
S&P 500® Index
TS-1
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 decreases from the Initial Index Level of 1350 to an
Index closing level of 1282.50 on the first Review Date.
Because the Index
closing level on the first Review Date of 1282.50 is greater than the
corresponding Call Level of 1215, the notes are automatically called, and the
investor receives a single payment of $1,098 per $1,000 principal amount note.
Example
2:
The level of the Index decreases from the Initial Index Level of 1350 to an
Index closing level of 1147.50 on the first Review Date, 1282.50 on the second
Review Date, and 1215 on the final Review Date.
Because (a) the
Index closing level on the first Review Date (1147.50) is less than the
corresponding Call Level of 1215, (b) the Index closing level of the Index
on
each of the other Review Dates (1282.50 and 1215) is less than the corresponding
Call Level of 1350, and (c) the Ending Index Level has not declined by more
than
10% from the Initial Index Level, the notes are not called and the payment
at
maturity is the principal amount of $1,000 per $1,000 principal amount note.
Example
3:
The level of the Index
decreases
from the Initial Index Level of 1350 to an Index closing level of 1147.50 on
the
first Review Date, 1215 on the second Review Date, and 1080 on the final Review
Date.
Because (a) the
Index closing level on the first Review Date (1147.50) is less than the
corresponding Call Level of 1215, (b) the Index closing level on each of the
other Review Dates (1215 and 1080) is less than the corresponding Call Level
of
1350, and (c) the Ending Index Level is more than 10% below the Initial Index
Level, the notes are not called and the investor receives a payment at maturity
that is less than the principal amount for each $1,000 principal amount note,
calculated as follows:
$1,000
+ [$1,000 x
(-20% + 10%) x 1.1111] = $888.89
Selected
Purchase Considerations
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·
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APPRECIATION
POTENTIAL —
If
the
Index closing level is greater than or equal to the Call Level on
a Review
Date, your investment will yield a payment per note of $1,000 plus:
(i) at
least 9.80%* x $1,000 if called on the first Review Date; (ii) at
least
19.60%* x $1,000 if called on the second Review Date; or (iii) at
least
29.40%* x $1,000 if called on the final Review Date. Because the
notes are
our senior unsecured obligations, payment of any amount if called
or at
maturity is subject to our ability to pay our obligations as they
become
due.
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*The
actual
percentage applicable to the Review Dates above will be determined on the
pricing date but will not be less than 9.80%, 19.60% and 29.40%,
respectively.
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·
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POTENTIAL
EARLY EXIT WITH APPRECIATION AS A RESULT OF AUTOMATIC CALL FEATURE
—
While
the
original term of the notes is just over three years, the notes will
be
called before maturity if the Index closing level is at or above
the Call
Level on a Review Date and you will be entitled to the applicable
payment
corresponding to that Review Date set forth on the cover of this
term
sheet.
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·
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LIMITED
PROTECTION AGAINST LOSS —
If
the
notes are not called and the Ending Index Level declines by no more
than
10% as compared to the Initial Index Level, you will be entitled
to
receive the full principal amount of your notes at maturity. If the
Ending
Index Level declines by more than 10%, for every 1% decline of the
Index
beyond 10% you will lose an amount equal to 1.1111% of the principal
amount of your notes.
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·
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POTENTIAL
FOR EARLY EXIT AND 9.80%** RETURN IN YEAR ONE, EVEN IF THE INDEX
RETURN IS
NEGATIVE ON THE FIRST REVIEW DATE —
The
Call
Level for the first Review Date is set at 90% of the Initial Index
Level.
Accordingly, you will receive a payment of $1,098** per $1,000 principal
amount note after the first Review Date, even if the Index closing
level
on the first Review Date reflects a decline of up to 10% from the
Initial
Index Level.
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**
The
actual
percentage and call payment applicable to the first Review Date will be
determined on the pricing date but will not be less than 9.80% and $1,098,
respectively.
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·
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DIVERSIFICATION
OF THE S&P 500®
INDEX —
The
return
on the notes is linked to the S&P 500®
Index. The
S&P 500®
Index
consists of 500 component stocks selected to provide a performance
benchmark for the U.S. equity markets. For additional information
about
the Index, see the information set forth under “The S&P
500®
Index” in
the accompanying product supplement no.
20-I.
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·
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CAPITAL
GAINS TAX TREATMENT —
You
should
review carefully the section entitled “Certain U.S. Federal Income Tax
Consequences” in the accompanying product supplement no. 20-I. The pricing
of the notes is subject to delivery of an opinion of our special
tax
counsel, Davis Polk & Wardwell, that it is reasonable to treat your
purchase and ownership of the notes as an “open transaction” for U.S.
federal income tax purposes. The opinion will be subject to the
limitations described in the section entitled “Certain U.S. Federal Income
Tax Consequences” in the accompanying product supplement no. 20-I and will
be based on certain factual representations to be received from us
on or
prior to the pricing date. Assuming this characterization is respected,
your gain or loss on the notes should be treated as long-term capital
gain
or loss if you hold the notes for more than a year, whether or not
you are
an initial purchaser of notes at the issue price. However, the Internal
Revenue Service (the “IRS”) or a court may not respect this
characterization or treatment of the notes, 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,
such as the
notes. The notice focuses in particular on whether to require holders
of
these instruments to accrue income over the term of their investment.
It
also asks for comments on a number of related topics, including the
character of income or loss with respect to these instruments; the
relevance of factors such as the nature of the underlying property
to
which the instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by Non-U.S. Holders should
be
subject to withholding tax; and whether these instruments are or
should be
subject to the “constructive ownership” regime, which very generally can
operate to recharacterize certain long-term capital gain as ordinary
income that is subject to an interest charge. While the notice requests
comments on appropriate transition rules and effective dates, 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. Both
U.S. and
Non-U.S. Holders
should
consult their
tax
advisers
regarding
the U.S.
federal
income tax consequences of an investment in
the notes,
including possible alternative treatments
and the
issues
presented by
this
notice.
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JPMorgan
Structured Investments —
Annual Review
Notes Linked to the
S&P 500® Index
TS-2
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 stocks
of the Index. These risks are explained in more detail in the “Risk Factors”
section of the accompanying product supplement no. 20-I dated March 21,
2006.
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·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
If
the
notes are not called and the Ending Index Level declines by more
than 10%
compared to the Initial Index Level, you will lose 1.1111% of your
principal amount for every 1% decline in the Ending Index Level compared
to the Initial Index Level beyond the 10%
buffer.
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·
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LIMITED
RETURN ON THE NOTES —
Your
potential gain on the notes will be limited to the call premium applicable
for a Review Date, as set forth on the cover of this term sheet,
regardless of the appreciation in the Index, which may be significant.
Because the Index closing level at various times during the term
of the
notes could be higher than on the Review Dates and at maturity, you
may
receive a lower payment if called or at maturity, as the case may
be, than
you would have if you had invested directly in the
Index.
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·
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NO
INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS —
As
a holder
of the notes, you will not receive interest payments, and you will
not
have voting rights or rights to receive cash dividends or other
distributions or other rights that holders of securities composing
the
S&P 500® Index
would have.
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·
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CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES
PRIOR
TO MATURITY —
While
the
payment on any Review Date or 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, the price, if any, at which J.P. Morgan Securities Inc.,
which we
refer to as JPMSI, will be willing to purchase notes from you in
secondary
market transactions 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. The notes are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold the notes to
maturity.
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·
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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.
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·
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POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the issuance
of the
notes, including acting as calculation agent and hedging our obligations
under the notes. 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. In addition, we are currently
one of the companies that make up the Index. We 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 Index and
the
notes.
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·
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MANY
ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES
—
In
addition
to the level of the Index on any 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, including:
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·
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the
expected
volatility of the Index;
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·
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the
time to
maturity of the notes;
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·
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the
dividend
rate on the common stocks underlying the
Index;
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·
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interest
and
yield rates in the market
generally;
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·
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a
variety of
economic, financial, political, regulatory or judicial events; and
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·
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our
creditworthiness, including
actual or anticipated downgrades in our credit ratings.
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·
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THE
OFFERING OF THE NOTES MAY BE TERMINATED BEFORE PRICING
—
This
term
sheet has not been reviewed by our special tax counsel, Davis Polk
&
Wardwell, and the pricing of the offering of the notes is subject
to
delivery by them of an opinion regarding the tax treatment of the
notes as
described under “Selected Purchase Considerations — Capital Gains Tax
Treatment” above. If our special tax counsel does not deliver this opinion
prior to pricing, the offering of the notes will be
terminated.
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JPMorgan
Structured Investments —
Annual Review
Notes Linked to the
S&P 500® Index
TS-3
Historical
Information
The
following graph
sets forth the historical performance of the Index based on the weekly Index
closing level from January 4, 2002 through February 15, 2008. The Index closing
level on February 15, 2008 was 1349.99. 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 any Review Date. We cannot give you assurance that the
performance of the Index will result in the return of any of your initial
investment.
Supplemental
Underwriting Information
JPMSI,
acting as
agent for JPMorgan Chase & Co., will receive a commission that will depend
on market conditions on the pricing date. In no event will that commission,
which includes structuring and development fees, exceed $32.50
per $1,000
principal amount note. See “Underwriting” beginning on page PS-20 of the
accompanying product supplement no. 20-I.
For
a different
portion of the notes to be sold in this offering, an affiliated bank will
receive a fee and another affiliate will receive a structuring and development
fee. In no event will the total amount of these fees exceed $32.50
per $1,000
principal amount note.
JPMorgan
Structured Investments —
Annual Review
Notes Linked to the
S&P 500® Index
TS-4