Published on 11/14/2005 in the Prospect News Convertibles Daily.
New Issue: JPMorgan prices $5.25 million 0% notes linked to Nikkei 225
By Jennifer Chiou
New York, Nov. 14 - JPMorgan Chase & Co. priced $5.25 million 0% buffered return-enhanced notes linked to the Nikkei 225 index, according to a 424B3 filing with the Securities and Exchange Commission.
At maturity the notes pay double any positive return on the index, capped at a 25% return. Holders receive par if the index loses up to 10%. For losses above 10%, the return on the notes is par minus 1.1111 times the loss over 10%.
Issuer: | JPMorgan Chase & Co.
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Issue: | Buffered return-enhanced senior notes
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Underlying index: | Nikkei 225
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Amount: | $5.25 million
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Maturity: | Feb. 23, 2007
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Coupon: | 0%
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Price: | Par
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Initial index level: | 14,075.96
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Payout at maturity: | If index return is positive, par plus double return, capped at 25% gain; if return is up to 10% negative, par; if return is more than 10% negative, par minus 1.1111 times loss over 10%; index return is averaged over five days from Feb. 9, 2007 to Feb. 16, 2007
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Pricing date: | Nov. 4
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Settlement date: | Nov. 10
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Underwriter: | JPMorgan
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