Published on 12/31/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.02 million annual review notes linked to S&P 500, Euro Stoxx 50
By Angela McDaniels
Tacoma, Wash., Dec. 26 - JPMorgan Chase & Co. priced $2.02 million of 0% lesser index annual review notes due Jan. 10, 2011 linked to the S&P 500 and Dow Jones Euro Stoxx 50 indexes, according to a 424B2 filing with the Securities and Exchange Commission.
If each index is at or above its call level on a review date, the notes will be called. The call level for each index is 90% of its initial level for the first review date and 100% of its initial level for the second and third review dates.
Investors will receive par plus 15.3% if the notes are called on Jan. 5, 2009, par plus 30.6% if called on Jan. 5, 2010 and par plus 45.9% if called on Jan. 5, 2011.
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 annual review notes
|
| Underlying indexes: | S&P 500, Dow Jones Euro Stoxx 50
|
| Amount: | $2,022,000
|
| Maturity: | Jan. 10, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Par plus 15.3% if called Jan. 5, 2009, par plus 30.6% if called Jan. 5, 2010 and par plus 45.9% if called Jan. 5, 2011; 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 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: | 1,484.46 for S&P 500; 4,384.55 for Euro Stoxx
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 27
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.92%, including 0.96% for selling concessions
|
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