Published on 7/31/2007 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $10.682 million annual review notes linked to S&P 500 via JPMorgan
By Angela McDaniels
Seattle, July 31 - Morgan Stanley priced $10.682 million of 0% annual review notes due Aug. 10, 2010 linked to the S&P 500 index via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at increasing premiums if the index is at least 90% of its initial level on the first annual review date and at or above its initial level on the second or third annual review dates. The redemption amount will be par plus 8.99% if the notes are called on Aug. 5, 2008, par plus 17.98% if called on Aug. 5, 2009 and par plus 26.97% if called on Aug. 5, 2010.
If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%, in which case investors will lose 1.1111% for each 1% decline beyond 10%.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Annual review notes
|
| Underlying index: | S&P 500
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| Amount: | $10.682 million
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| Maturity: | Aug. 10, 2010
|
| Coupon: | 0%
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| Price: | Par
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| Call: | Automatically called if index is at least 90% of its initial level on the first annual review date and at or above its initial level on the second or third annual review dates; payout will be par plus 8.99% if notes are called on Aug. 5, 2008, par plus 17.98% if called on Aug. 5, 2009 and par plus 26.97% if called on Aug. 5, 2010
|
| Payout at maturity: | Par if final index level is at least 90% of the initial index level; 1.1111% loss for each 1% decline beyond 10%
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| Initial index level: | 1,458.95
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| Pricing date: | July 27
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| Settlement date: | Aug. 3
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| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
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| Fees: | 2%
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