JPMorgan plans Nikkei 225-linked notes

By Sheri Kasprzak

New York, Nov. 6 - JPMorgan Chase & Co. led structured products news as the week cranked back up with word that it plans to price 0% annual review notes linked solely to the Nikkei 225.

The choice is an interesting one, one market source said Monday, in that the Nikkei is commonly linked to notes in a basket of other indexes.

"It's just interesting to see the Nikkei 225 outside of a basket," he said.

"It's not unheard of but it does seem to be an indicator of confidence [in the index] when it does happen. You're normally looking to buffer potential losses against the weight of another index. When you don't have that, you just have to bank on the strength of that one index."

Notes to price Nov. 10

Under the terms of the notes, due Nov. 25, 2009, the notes will automatically be called at increasing premiums if the index level shows a positive return on any three of the review dates.

The redemption amount will be at least 7.5% if called on Nov. 20, 2007; at least 15.5% if called on Nov. 20, 2008; and at least 23.25% if called on Nov. 20, 2009. The exact redemption amounts will be determined at pricing.

The investors will receive par if the notes are not called, assuming the index does not decline by more than 15%. Should the index decline by more than 15%, the investors will lose 1.1765% of their principal amount for every 1% decline beyond 15%.

JPMorgan's other Nikkei notes

However this is not the first time JPMorgan has priced notes linked just the Nikkei 225. On Oct. 27, the investment bank priced $8.066 million in 0% buffered return enhanced senior notes linked to the index. And on Oct. 20, JPMorgan priced $2.215 million in 0% annual review senior notes linked to the Nikkei 225. On Oct. 6, the index was linked to $2.545 million in another issue of 0% buffered return enhanced senior notes priced by JPMorgan.

Nikkei often linked to basket

Recently, the Nikkei has been part of global baskets linked to other notes.

On Friday, Wachovia Corp. said the Nikkei 225 will be part of a basket of 0% enhanced growth securities along with the Dow Jones Euro Stoxx 50, FTSE 100, MSCI Taiwan and S&P/ASX 200 indexes.

The Nikkei was also linked along with the MSCI Singapore Free, Dow Jones EuroSToxx 50 and Dow Jones Industrial Average index to principal-protected certificates of deposit to be priced later this month by Rabobank, NA.

Also, JPMorgan said it plans to price 0% buffered return enhanced notes linked to the Nikkei, the S&P 500 and the Dow Jones Euro Stoxx 50 on Nov. 27.

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