Published on 2/27/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.8 million annual review notes linked to Nikkei, S&P
By E. Janene Geiss
Philadelphia, Feb. 27 - JPMorgan Chase & Co. priced a $2.8 million offering of 0% lesser index annual review notes due March 3, 2010 linked to the Nikkei 225 and S&P 500 indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the level of each index is at least 90% of its initial level on the first review date and greater than or equal to its initial level on the second and third annual review dates.
For each $1,000 principal amount of notes, the redemption amount will be par plus 12% if called Feb. 27, 2008, par plus 24% if called Feb. 27, 2009 and par plus 36% if called Feb. 26, 2010.
If the notes are not called, the payout at maturity will be par unless the indexes decline by more than 10%. Investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Lesser index annual review notes
|
| Amount: | $2.8 million
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| Underlying indexes: | Nikkei 225, S&P 500
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| Maturity: | March 3, 2010
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| Coupon: | 0%
|
| Price: | Par
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| Call: | Automatically called if index levels are at least 90% of their initial levels on the first review date and greater than or equal to their initial levels on the second and third annual review dates; payout will be par plus 12% if called Feb. 27, 2008, par plus 24% if called Feb. 27, 2009 and par plus 36% if called Feb. 26, 2010
|
| Payout at maturity: | 1.1111% loss for every 1% decline in the lesser-performing index beyond 10%; otherwise, par
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| Initial index levels: | 18,188.42 for Nikkei 225; 1,451.19 for S&P 500
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | J.P. Morgan Securities Inc.
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| Agent fees: | 3.15%, including 1.575% for selling commissions
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