Published on 1/14/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2 million semiannual review notes tied to S&P 500, Euro Stoxx 50
By Susanna Moon
Chicago, Jan. 14 - JPMorgan Chase & Co. priced $2 million of 0% lesser index semiannual review notes due Jan. 25, 2010 linked to the S&P 500 and Dow Jones Euro Stoxx 50 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 80% 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 12.2% if called Jan. 20, 2009, par plus 18.3% if called July 20, 2009 and par plus 24.4% if called Jan. 20, 2010.
If the notes are not called, the payout at maturity will be par unless one or both indexes decline 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 semiannual review notes
|
| Underlying indexes: | S&P 500, Dow Jones Euro Stoxx 50
|
| Amount: | $2 million
|
| Maturity: | Jan. 25, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Par plus 12.2% if called Jan. 20, 2009, par plus 18.3% if called July 20, 2009 and par plus 24.4% if called Jan. 20, 2010; call is triggered if both indexes are at least 80% of their initial levels on the first review date and at or above their initial levels for second or third review dates
|
| Payout at maturity: | Par unless one or both indexes decline by more than 10%; 1.1111% loss for every 1% decline in the lesser-performing index beyond 10%
|
| Initial index levels: | 1,420.33 for S&P 500; 4,237.62 for Euro Stoxx
|
| Pricing date: | Jan. 10
|
| Settlement date: | Jan. 15
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.15%, including 1.075% for selling concessions
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