Published on 10/23/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $4.02 million lesser index annual review notes linked to S&P 500, Stoxx 50
By Angela McDaniels
Seattle, Oct. 23 - JPMorgan Chase & Co. priced a $4.02 million issue of 0% lesser index annual review notes due Nov. 1, 2010 linked to the S&P 500 and Dow Jones Euro Stoxx 50 indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at increasing premiums if both index levels are at least 90% of their initial levels on the first review date and at or above their initial index levels on the second or third annual review dates. The redemption amount will be par plus 13.25% if the notes are called on Oct. 27, 2008, par plus 26.5% if called on Oct. 27, 2009 and par plus 39.75% if called on Oct. 27, 2010.
If the notes are not called, the payout at maturity will be par unless one or both indexes decline by more than 10%. Investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Lesser index annual review notes
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Underlying indexes: | S&P 500, Dow Jones Euro Stoxx 50
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Amount: | $4,022,000
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Maturity: | Nov. 1, 2010
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Coupon: | 0%
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Price: | Par
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Call: | Par plus 13.25% if called Oct. 27, 2008, par plus 26.5% if called Oct. 27, 2009 and par plus 39.75% if called Oct. 27, 2010; call is triggered if both indexes are at least 90% of their initial levels on the first review date and at or above their initial levels for second or third review dates
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Payout at maturity: | Par unless one or both indexes declines by more than 10%; 1.1111% loss for every 1% decline in the lesser-performing index beyond 10%
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Initial index levels: | 1,500.63 for S&P 500; 4,411.26 for Euro Stoxx
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Pricing date: | Oct. 19
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Settlement date: | Oct. 24
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 3.2%, including 1.6% for selling concessions
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