Free Writing Prospectus - Filing under Securities Act Rules 163/433
|
Term
sheet
To prospectus dated December 1, 2005, prospectus supplement dated December 1, 2005 and product supplement no. 18-I dated March 16, 2006 |
Term
Sheet to
Product
Supplement No. 18-I
Registration
Statement No. 333-130051
Dated March 31, 2008; Rule 433 |
|
Structured
Investments
|
JPMorgan
Chase & Co.
$
Buffered
Return Enhanced Notes Linked to the S&P 500
®
Index due
April 21, 2009
|
General
|
·
|
The
notes are
designed for investors who seek a return of two times the appreciation
of
the S&P 500
®
Index up to
a maximum total return on the notes of 16%
*
at maturity.
Investors should be willing to forgo interest and dividend payments
and,
if the Index declines by more than 10%, be willing to lose some
or all of
their principal.
|
|
·
|
Senior
unsecured obligations of JPMorgan Chase & Co. maturing April 21,
2009
†
.
|
|
·
|
Minimum
denominations of $20,000 and integral multiples of $1,000 in excess
thereof.
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|
·
|
The
notes are
expected to price on or about April 4, 2008 and are expected to
settle on
or about April 9, 2008.
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Key
Terms
|
Index:
|
The
S&P
500
®
Index (the
“Index”)
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|
Upside
Leverage Factor:
|
2
|
|
Payment
at
Maturity:
|
If
the Ending
Index Level is greater than the Initial Index Level, you will receive
a
cash payment that provides you with a return per $1,000 principal
amount
note equal to the Index Return multiplied by two, subject to a
Maximum
Total Return on the notes of 16%
*
.
For
example, if the Index Return is more than 8%, you will receive
the Maximum
Total Return on the notes of 16%
*
,
which
entitles you to a maximum payment at maturity of $1,160 for every
$1,000
principal amount note that you hold. Accordingly, if the Index
Return is
positive, your payment per $1,000 principal amount note will be
calculated
as follows, subject to the Maximum Total Return:
|
|
$1,000
+[$1,000 x (Index Return x 2)]
*
The
actual
Maximum Total Return on the notes will be set on the pricing date
and will
not be less than 16%.
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|
|
Your
principal is protected against up to a 10% decline of the Index
at
maturity. If the Ending Index Level declines from the Initial Index
Level
by up to 10%, you will receive the principal amount of your notes
at
maturity.
If
the Ending
Index Level declines from the Initial Index Level 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 final payment per $1,000
principal
amount note will be calculated as follows:
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|
|
$1,000
+
[$1,000 x (Index Return + 10%) x 1.1111]
|
|
|
You
will
lose some or all of your investment at maturity if the Ending Index
Level
declines from the Initial Index Level by more than
10
%.
|
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|
Buffer
Amount:
|
10%
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|
Downside
Leverage Factor:
|
1.1111
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|
Index
Return:
|
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:
|
The
Index
closing level on the pricing date.
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Ending
Index
Level:
|
The
Index
closing level on the Observation Date.
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Averaging Dates
†
:
|
April
9, 2009, April 13, 2009, April 14, 2009, April 15, 2009, April
16,
2009
|
|
Maturity
Date
†
:
|
April
21, 2009
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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” in the accompanying
product supplement no. 18-I.
|
Investing
in the Buffered Return Enhanced Notes involves a number of risks. See “Risk
Factors” beginning on page PS-5 of the accompanying product supplement no. 18-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. 18-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
|
|
|
Per
note
|
$
|
$
|
$
|
|
Total
|
$
|
$
|
$
|
(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
March
31,
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. 18-I dated March
16,
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. 18-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):
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·
|
Product
supplement no. 18-I dated March 16, 2006:
http://www.sec.gov/Archives/edgar/data/19617/000089109206000662/e23401_424b2.pdf
|
|
·
|
Prospectus
supplement dated December 1, 2005:
http://www.sec.gov/Archives/edgar/data/19617/000089109205002390/e22885_424b2.txt
|
|
·
|
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.
What
Is the Total Return on the Notes at Maturity Assuming a Range of Performance
for
the Index?
The
following table
and graph illustrate 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 Initial Index Level of 1300 and a Maximum Total Return on the notes
of
16%. 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, graph and examples
have been rounded for ease of analysis.
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Ending
Index
Level
|
Index
Return
|
Total
Return on Notes
|
|
2340.00
|
80.00%
|
16.00%
|
|
2145.00
|
65.00%
|
16.00%
|
|
1950.00
|
50.00%
|
16.00%
|
|
1820.00
|
40.00%
|
16.00%
|
|
1690.00
|
30.00%
|
16.00%
|
|
1560.00
|
20.00%
|
16.00%
|
|
1495.00
|
15.00%
|
16.00%
|
|
1404.00
|
8.00%
|
16.00%
|
|
1365.00
|
5.00%
|
10.00%
|
|
1332.50
|
2.50%
|
5.00%
|
|
1300.00
|
0.00%
|
0.00%
|
|
1235.00
|
-5.00%
|
0.00%
|
|
1170.00
|
-10.00%
|
0.00%
|
|
1040.00
|
-20.00%
|
-11.11%
|
|
910.00
|
-30.00%
|
-22.22%
|
|
780.00
|
-40.00%
|
-33.33%
|
|
650.00
|
-50.00%
|
-44.44%
|
|
520.00
|
-60.00%
|
-55.56%
|
|
390.00
|
-70.00%
|
-66.67%
|
|
260.00
|
-80.00%
|
-77.78%
|
|
130.00
|
-90.00%
|
-88.89%
|
|
0
|
-100.00%
|
-100.00%
|
JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500
®
Index
Hypothetical
Examples of Amounts Payable at Maturity
The
following
examples illustrate how the total returns set forth in the table and graph
above
are calculated.
Example
1:
The level of the Index increases from the Initial Index Level of 1300 to
an
Ending Index Level of 1365.
Because
the Ending
Index Level of 1365 is greater than the Initial Index Level of 1300 and the
Index Return of 5% multiplied by 2 does not exceed the hypothetical Maximum
Total Return of 16%, the investor receives a payment at maturity of $1,100
per
$1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000 x
(5% x 2)] = $1,100
Example
2:
The level of the Index decreases from the Initial Index Level of 1300 to
an
Ending Index Level of 1170.
Because
the Ending
Index Level of 1170 is less than the Initial Index Level of 1300 by not more
than the Buffer Amount of 10%, the investor receives a payment at maturity
of
$1,000 per $1,000 principal amount note.
Example
3:
The level of the Index increases from the Initial Index Level of 1300 to
an
Ending Index Level of
1560
.
Because
the Ending
Index Level of
1560
is
greater than the Initial Index Level of 1300 and the Index Return of 20%
multiplied by 2 exceeds the hypothetical Maximum Total Return of 16%, the
investor receives a payment at maturity of $1,160 per $1,000 principal amount
note, the maximum payment on the notes.
Example
4:
The level of the Index decreases from the Initial Index Level of 1300 to
an
Ending Index Level of 1040.
Because
the Ending
Index Level of 1040 is less than the Initial Index Level of 1300 by more
than
the Buffer Amount of 10%,
the
Index Return is
negative and the investor receives a payment at maturity of $888.89 per $1,000
principal amount note, calculated as follows:
$1,000
+ [$1,000 x
(-20% + 10%) x 1.1111] = $888.89
Selected
Purchase Considerations
|
·
|
APPRECIATION
POTENTIAL
—
The
notes
provide the opportunity to enhance equity returns by multiplying
a
positive Index Return by two, up to the Maximum Total Return on
the notes
of 16%, or $1,160 for every $1,000 principal amount note. The actual
Maximum Total Return on the notes will be set on the pricing date
and will
not be less than 16%. Because the notes are our senior unsecured
obligations, payment of any amount at maturity is subject to our
ability
to pay our obligations as they become due.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
—
Payment at maturity of the principal amount of
the notes
is protected against a decline in the Ending Index Level, as compared
to
the Initial Index Level, of up to 10%. 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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|
·
|
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.
18-I.
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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. 18-I. Subject to
the limitations described therein, and based on certain factual
representations received from us, in the opinion of our special
tax
counsel, Davis Polk & Wardwell, it is reasonable to treat your
purchase and ownership of the notes as an “open transaction” for U.S.
federal income tax purposes. 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
|
JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500
®
Index
| 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. |
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. 18-I dated March 16,
2006.
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·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
—
The
notes do
not guarantee any return of principal. The return on the notes
at maturity
is linked to the performance of the Index and will depend on whether,
and
the extent to which, the Index Return is positive or negative.
Your
investment will be exposed on a leveraged basis to any decline
in the
Ending Index Level beyond the 10% buffer as compared to the Initial
Index
Level.
|
|
·
|
YOUR
MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL RETURN
—
If
the Ending
Index Level is greater than the Initial Index Level, for each $1,000
principal amount note, you will receive at maturity $1,000 plus
an
additional amount that will not exceed a predetermined percentage
of the
principal amount, regardless of the appreciation in the Index,
which may
be significant. We refer to this percentage as the Maximum Total
Return,
which will be set on the pricing date and will not be less than
16%.
|
|
·
|
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,
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, 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. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing
to hold
your notes to maturity.
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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
Index would have.
|
|
·
|
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.
|
|
·
|
WE
ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE INDEX
—
We
are currently one of the companies that make up the Index. On March
16,
2008, and March 24, 2008, we issued press releases (which are included
in
our Current Reports on Form 8-K filed with the Securities and Exchange
Commission on March 18, 2008, and March 24, 2008, respectively)
announcing
our potential acquisition of The Bear Stearns Companies, Inc.,
which is
also included in the Index. To our knowledge, we are not currently
affiliated with any other issuers the equity securities of which
are
included in 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.
|
|
·
|
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.
|
|
·
|
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:
|
|
·
|
the
expected
volatility of the Index;
|
|
·
|
the
time to
maturity of the notes;
|
|
·
|
the
dividend
rate on the common stocks underlying the
Index;
|
|
·
|
interest
and
yield rates in the market
generally;
|
|
·
|
a
variety of
economic, financial, political, regulatory or judicial events;
and
|
|
·
|
our
creditworthiness, including actual or anticipated downgrades in
our credit
ratings.
|
Historical
Information
The
following graph
sets forth the historical performance of the S&P 500
®
Index based on the
weekly historical Index closing level from January 3, 2003 through March
28,
2008. The Index closing level on March 28, 2008 was 1315.22. 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 of the
Averaging Dates. 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 $
15.00
p
er
$1,000 principal amount note. See “Underwriting” beginning on page PS-21 of the
accompanying product supplement no. 18-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 $
15.00
per $1,000
principal amount note.
JPMorgan
Structured Investments —
Buffered
Return Enhanced Notes Linked to the S&P 500
®
Index
TS-4