Published on 3/25/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5.94 million 0% notes linked to buffered return enhanced index basket
By Susanna Moon
Chicago, March 25 - JPMorgan Chase & Co. priced $5.94 million of 0% notes due April 3, 2009 linked to a basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
The basket contains the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Topix index with a 20% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes. The payment will be capped at $1,174.35 per $1,000 principal amount.
If a basket index finishes above its initial level, its return will equal twice the gain, capped at 17.7% for the Euro Stoxx, 15.6% for the FTSE 100 and 19% for the Topix.
If a basket index falls by up to 10%, the return will be zero. If the index falls below 10%, the payout will be 1.1111 times the decline beyond 10%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Notes linked to three buffered return enhanced components
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 (55% weight), FTSE 100 (25% weight) and Topix (20% weight)
|
| Amount: | $5.94 million
|
| Maturity: | April 3, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the index returns, capped at a payment of $1,174.35 per note
|
| Index returns: | If the index increases, two times the gain, capped at a maximum return of 17.7% for the Euro Stoxx, 15.6% for the FTSE 100 and 19% for the Topix; if the index falls by up to 10%, zero; if the index falls below 10%, 1.1111 times the decline beyond 10%
|
| Initial index levels: | 3,505.90 for Euro Stoxx; 5,495.20 for FTSE 100; 1,220.04 for Topix
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| Final index levels: | Average of closing levels on five trading days ending March 31, 2009
|
| Pricing date: | March 21
|
| Settlement date: | March 26
|
| Agent: | J.P. Morgan Securities Inc.
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| Fees: | 1.5%, including 0.75% for selling concessions
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