Published on 7/24/2006 in the Prospect News Convertibles Daily.
New Issue: JPMorgan sells $2.775 million 0% return enhanced notes linked to three indexes
By Jennifer Chiou
New York, July 24 - JPMorgan Chase & Co. sold $2.775 million of 0% return enhanced senior notes due Aug. 1, 2007 linked to the S&P 500, Nikkei 225 and Dow Jones Euro Stoxx 50 indexes, according to a 424B2 filing with the Securities and Exchange Commission.
Noteholders will receive par plus triple any positive return on the index, up to a maximum payout of 21%. Investors will share in any losses.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Return enhanced senior notes
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| Underlying indexes: | S&P 500, Nikkei 225, Dow Jones Euro Stoxx 50
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| Amount: | $2.775 million
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| Maturity: | Aug. 1, 2007
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus three times any return on the index, capped at 21% payout; full exposure to any decline
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| Pricing date: | July 20
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| Settlement date: | July 25
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| Agent: | J.P. Morgan Securities Inc.
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