Published on 2/18/2009 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $12.56 million semiannual review notes linked to S&P 500
By E. Janene Geiss
Philadelphia, Feb. 18 - JPMorgan Chase & Co. priced $12.56 million of 0% semiannual review notes due March 2, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index is above its call level on any of four review dates. The call level is 80% of the initial level on the first review date, 90% of the initial level on the second review date and 100% of the initial level on the third and fourth review dates.
The redemption amount will be par plus 5.2% if the notes are called on Aug. 12, 2009, par plus 10.4% if called on Feb. 26, 2010, par plus 15.6% if called on Aug. 26, 2010 and par plus 20.8% if called on Feb. 25, 2011.
If the notes are not called, investors will receive par at maturity unless the index falls by more than 10%. Investors will lose 1.1111% for every 1% drop beyond 10%.
J.P. Morgan Securities Inc. is agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Semiannual review notes
|
| Underlying index: | S&P 500 index
|
| Amount: | $12,556,000
|
| Maturity: | March 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless the index falls by more than 10%; loss of 1.1111% for every 1% decline beyond 10%
|
| Call: | At par plus 5.2% if the notes are called on Aug. 12, 2009, par plus 10.4% if called on Feb. 26, 2010, par plus 15.6% if called on Aug. 26, 2010 and par plus 20.8% if called on Feb. 25, 2011; notes will be called if index is more than 80% of initial level on first review date, 90% of initial level on second review date or 100% of initial level on third or fourth review dates
|
| Initial level: | 826.84
|
| Pricing date: | Feb. 13
|
| Settlement date: | Feb. 19
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.25%, including 1.125% for selling concessions
|
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