Published on 9/18/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $29.28 million annual review notes linked to Euro Stoxx, Nikkei
By Angela McDaniels
Seattle, Sept. 18 - JPMorgan Chase & Co. priced a $29.28 million issue of 0% lesser index annual review notes due Sept. 27, 2010 linked to the Dow Jones Euro Stoxx 50 and Nikkei 225 indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at increasing premiums if both index levels are at least 90% of their initial levels on the first review date and at or above their initial index levels on the second or third annual review dates. The redemption amount will be par plus 19.75% if the notes are called on Sept. 22, 2008, par plus 39.50% if called on Sept. 24, 2009 and par plus 59.25% if called on Sept. 22, 2010.
If the notes are not called, the payout at maturity will be par unless one or both 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. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Lesser index annual review notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 and Nikkei 225
|
| Amount: | $29,278,000
|
| Maturity: | Sept. 27, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Par plus 19.75% if called Sept. 22, 2008, par plus 39.50% if called Sept. 24, 2009 and par plus 59.25% if called Sept. 22, 2010; call is triggered if both indexes are at least 90% of their initial levels on the first review date and at or above their initial levels for the second or third review dates
|
| Payout at maturity: | Par unless one or both indexes declines by more than 10%; 1.1111% loss for every 1% decline in the lesser-performing index beyond 10%
|
| Initial index levels: | 4,221.34 for Euro Stoxx 50; 16,127.42 for Nikkei 225
|
| Pricing date: | Sept. 14
|
| Settlement date: | Sept. 19
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.950%, including 1.475% for selling concessions
|
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