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JPMorgan to price 0% return enhanced notes linked to Russell relative to S&P
By E. Janene Geiss
Philadelphia, May 5 - JPMorgan Chase & Co. plans to price an issue of 0% return enhanced notes due July 23, 2008 linked to the performance of the Russell 2000 index relative to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The notes are expected to price May 11 and settle May 16.
The payout at maturity will be par plus the return on the Russell 2000 index times an upside leverage factor of four, subject to a maximum total return that will be at least 16% if the Russell 2000 outperforms or matches the S&P 500 index has a positive performance or equals zero. The maximum total return will be no less than 22% if the S&P 500 beats the Russell 2000. The actual cap percentages will be determined at pricing.
If the Russell 2000 index declines, investors will be fully exposed to any decline.
J.P. Morgan Securities Inc. will be the agent.
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