Term sheet
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Term Sheet No. 2 to
Product Supplement No. 95-I Registration Statement No. 333-130051 Dated August 30, 2007; Rule 433 |
Structured |
JPMorgan
Chase & Co. |
General
Key Terms
Indices: |
The S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 Index (each an Index, and collectively, the Indices). |
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Automatic Call: |
On any Review Date, if the Index closing level for each Index is greater than or equal to its respective 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: |
First Review Date 85% of the Initial
Index Level for each Index |
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Payment if Called: |
For every $1,000 principal amount note, you will receive $1,000
plus a call premium calculated as follows: |
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Payment at Maturity: |
If the notes are not called and a mandatory redemption is not triggered, your principal is protected at maturity against up to a 15% decline of any Index. If none of the Ending Index Levels has declined by more than 15% relative to its respective Initial Index Level, you will receive the principal amount of your notes at maturity. If the percentage decline of the Ending Index Level of any Index relative to its respective Initial Index Level is greater than 15%, you will lose 1.1765% of the principal amount of your notes for every 1% that the Least Performing Index declines beyond 15% and your payment per $1,000 principal amount note will be calculated as follows: |
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$1,000 + [$1,000 x (the Least Performing Index Return + 15%)
x 1.1765]
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where the Least Performing Index Return is the lowest of the Index Return for the S&P 500® Index, the Index Return for the Dow Jones EURO STOXX 50® Index and the Index Return for the Nikkei 225 Index. Assuming the notes are not called, you will lose some or all of your investment at maturity if the Least Performing Index Return reflects a percentage decline of greater than 15%. |
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Buffer: |
15% |
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Index Return: |
For each Index, 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 |
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Initial Index Level: |
For each Index, the Index closing level on the pricing date. |
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Ending Index Level: |
For each Index, the Index closing level on the final Review Date. |
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Least Performing Index: |
On any trading day, the Index with the Least Performing Index Return, calculated as if the Ending Index Level for each Index were the closing level of such Index on such trading day. |
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Review Dates: |
September 10, 2008 (first Review Date), September 10, 2009 (second Review Date) and September 10, 2010 (final Review Date) |
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Maturity Date: |
September 15, 2010 |
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CUSIP: |
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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. 95-I. |
Investing in the Least Performing Index Annual Review Notes involves a number of risks. See Risk Factors beginning on page PS-5 of the accompanying product supplement no. 95-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. 95-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) |
Please see Supplemental Underwriting Information in this term sheet for information about fees and commissions. |
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
August 30, 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. 95-I dated August 27, 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. 95-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.
Hypothetical Examples of Amounts Payable upon an 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 Indices as shown under the column Level of Index with Least Performing Index Return Appreciation/Depreciation at Review Date. The following table assumes that the Least Performing Index for the entire term of the notes will be the Dow Jones EURO STOXX 50® Index. We make no representation or warranty as to which of the Indices will be the Least Performing Index for purposes of calculating your return on the notes on any Review Date or at maturity. The following table assumes a Call Level of 3570 for the Least Performing Index on both the first and second Review Dates and a Call Level equal to a hypothetical Initial Index Level of 4200 for the Least Performing Index on the final Review Date. The table assumes that the percentages used to calculate the call price applicable to the first, second and final Review Dates are 17.55%, 35.10% and 52.65%, respectively, regardless of the appreciation of the Least Performing 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. For an automatic call to be triggered, the Index closing level for each Index must be greater than or equal to its respective Call Level on one of the Review Dates.
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Level of Index with Least |
Level of Index with Least |
Total Return |
Total Return |
Total Return |
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7560.00 |
80.00% |
17.55% |
35.10% |
52.65% |
7140.00 |
70.00% |
17.55% |
35.10% |
52.65% |
6720.00 |
60.00% |
17.55% |
35.10% |
52.65% |
6300.00 |
50.00% |
17.55% |
35.10% |
52.65% |
5880.00 |
40.00% |
17.55% |
35.10% |
52.65% |
5460.00 |
30.00% |
17.55% |
35.10% |
52.65% |
5040.00 |
20.00% |
17.55% |
35.10% |
52.65% |
4830.00 |
15.00% |
17.55% |
35.10% |
52.65% |
4620.00 |
10.00% |
17.55% |
35.10% |
52.65% |
4410.00 |
5.00% |
17.55% |
35.10% |
52.65% |
4200.00 |
0.00% |
17.55% |
35.10% |
52.65% |
4195.80 |
-0.10% |
17.55% |
35.10% |
0.00% |
3990.00 |
-5.00% |
17.55% |
35.10% |
0.00% |
3780.00 |
-10.00% |
17.55% |
35.10% |
0.00% |
3570.00 |
-15.00% |
17.55% |
35.10% |
0.00% |
3360.00 |
-20.00% |
N/A |
N/A |
-5.88% |
2940.00 |
-30.00% |
N/A |
N/A |
-17.65% |
2520.00 |
-40.00% |
N/A |
N/A |
-29.41% |
2100.00 |
-50.00% |
N/A |
N/A |
-41.18% |
1680.00 |
-60.00% |
N/A |
N/A |
-52.94% |
1260.00 |
-70.00% |
N/A |
N/A |
-64.71% |
840.00 |
-80.00% |
N/A |
N/A |
-76.47% |
420.00 |
-90.00% |
N/A |
N/A |
-88.24% |
0.00 |
-100.00% |
N/A |
N/A |
-100.00% |
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JPMorgan
Structured Investments
Least Performing Index Annual Review Notes Linked to the S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 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 Least Performing Index decreases from the Initial Index Level of 4200 to an Index closing level of 3990 on the first Review Date. Because the Index closing level of the Least Performing Index (3990) on the first Review Date is greater than the corresponding Call Level of 3570, the notes are automatically called, and the investor receives a single payment of $1,175.50 per $1,000 principal amount note.
Example 2: The level of the Least Performing Index decreases from the Initial Index Level of 4200 to an Index closing level of 3360 on the first Review Date, 2940 on the second Review Date, and 3990 on the final Review Date. Because (a) the Index closing level of the Least Performing Index on the first Review Date (3360) is less than the corresponding Call Level of 3570, (b) the Index closing level of the Least Performing Index on the second Review Date (2940) is less than the corresponding Call Level of 3570, (c) the Index closing level of the Least Performing Index on the final Review Date (3990) is less than the corresponding Call Level of 4200, and (d) the Ending Index Level of the Least Performing Index has not declined by more than 15% 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 Least Performing Index decreases from the Initial Index Level of 4200 to an Index closing level of 2940 on the first Review Date, 2520 on the second Review Date, and 3360 on the final Review Date. Because (a) the Index closing level of the Least Performing Index on the first Review Date (2940) is less than the corresponding Call Level of 3570, (b) the Index closing level of the Least Performing Index on the second Review Date (2520) is less than the corresponding Call Level of 3570, (c) the Index closing level of the Least Performing Index on the final Review Date (3360) is less than the corresponding Call Level of 4200, and (d) the Ending Index Level of the Least Performing Index is more than 15% 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 of each $1,000 principal amount note calculated as follows:
$1,000 + [$1,000 x (-20% + 15%) x 1.1765] = $941.18
Selected Purchase Considerations
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JPMorgan
Structured Investments
Least Performing Index Annual Review Notes Linked to the S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 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 Indices or any of the component stocks of the Indices. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 95-I dated August 27, 2007.
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JPMorgan
Structured Investments
Least Performing Index Annual Review Notes Linked to the S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 Index |
TS-3 |
Historical Information
The following graphs set forth the historical weekly performance of the S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 Index based on the applicable weekly Index closing level from January 4, 2002 through August 24, 2007. The Index closing level of the S&P 500® Index on August 29, 2007 was 1463.76. The Index closing level of the Dow Jones EURO STOXX 50® Index on August 29, 2007 was 4193.58. The Index closing level of the Nikkei 225 Index on August 29, 2007 was 16012.83.
We obtained the various Index closing levels below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of information obtained from Bloomberg Financial Markets. The historical levels of each Index should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level of any of the Indices on any Review Date. We cannot give you assurance that the performance of the Indices 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-32 of the accompanying product supplement no. 95-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.
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JPMorgan
Structured Investments
Least Performing Index Annual Review Notes Linked to the S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 Index |
TS-4 |