JPMorgan to price 0% lesser index annual review notes linked to Nikkei 225, Euro Stoxx 50

By Jennifer Chiou

New York, May 7 - JPMorgan Chase & Co. plans to price 0% lesser index annual review notes due May 24, 2010 linked to the Dow Jones Euro Stoxx 50 and Nikkei 225 indexes, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price May 11 and settle May 16.

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 index level on the second and third annual review dates.

For each $1,000 principal amount, the redemption amount will be par plus no less than 15.05% if the notes are called May 19, 2008, par plus no less than 30.1% if called May 19, 2009 and par plus no less than 45.15% if called May 19, 2010. The exact percentages will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless one or both of the indexes declines 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. will be the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.