By E. Janene Geiss
Philadelphia, May 30 - JPMorgan Chase & Co. priced a $4.91 million issue of 0% annual review notes due June 7, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index level is at or above the initial index level on one of three annual review dates.
For each $1,000 principal amount, the redemption amount will be par plus 8.25% if the notes are called June 2, 2008, par plus 16.5% if called June 2, 2009 and par plus 24.75% if called June 2, 2010.
If the notes are not called, the payout at maturity will par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Annual review notes
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Underlying index: | S&P 500
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Amount: | $4.91 million
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Maturity: | June 7, 2010
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Coupon: | 0%
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Price: | Par
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Call: | Automatically called if index level is at or above the initial index level on an annual review date; payout will be par plus 8.25% if the notes are called June 2, 2008, par plus 16.5% if called June 2, 2009 and par plus 24.75% if called June 2, 2010
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Payout at maturity: | Par unless index declines by more than 10%, in which case 1.1111% loss for each 1% decline beyond 10%
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Initial index level: | 1,515.73
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Pricing date: | May 25
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Settlement date: | May 31
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 3.07% total, including 1.535% for selling concessions
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