Published on 6/27/2006 in the Prospect News Convertibles Daily.
New Issue: JPMorgan sells $4.075 million return enhanced notes linked to S&P 500
By Jennifer Chiou
New York, June 27 - JPMorgan Chase & Co. sold $4.075 million of 0% return enhanced senior notes due July 12, 2007 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus three times any positive return on the index, capped at a maximum payout of 16.95%. Investors will be fully exposed to any decline in the index level.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Return enhanced senior notes
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| Underlying index: | S&P 500
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| Amount: | $4.075 million
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| Maturity: | July 12, 2007
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus three times any return on the index, capped at 16.95% payout; full exposure to any index decline
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| Pricing date: | June 23
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| Settlement date: | June 28
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| Agent: | J.P. Morgan Securities Inc.
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