Published on 1/23/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2 million return enhanced notes linked to Russell 2000, S&P 500
By Angela McDaniels
Tacoma, Wash., Jan. 23 - JPMorgan Chase & Co. priced $2 million of 0% return enhanced notes due Feb. 26, 2009 linked to the performance of the Russell 2000 index relative to the performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus four times any increase in the Russell 2000, subject to the maximum return. Investors will be fully exposed to any decline in the Russell 2000.
The maximum return will be 21.4% if the Russell 2000 return is equal to or greater than the S&P 500 return and will be 30% if the Russell 2000 return is less than the S&P 500 return.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Return enhanced notes
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Underlying indexes: | Russell 2000, S&P 500
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Amount: | $2 million
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Maturity: | Feb. 26, 2009
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus four times any gain in the Russell 2000, capped at the maximum return; full exposure to any decline in the Russell 2000
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Maximum return: | If the Russell 2000 return is less than the S&P 500 return, 30%; otherwise, 21.4%
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Initial index levels: | 671.57 for Russell 2000; 1,310.5 for S&P 500
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Pricing date: | Jan. 22
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Settlement date: | Jan. 25
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 2.25%, including 1% for selling concessions
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