Published on 11/29/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.8 million knock-out notes linked to index basket
By Angela McDaniels
Tacoma, Wash., Nov. 29 - JPMorgan Chase & Co. priced $3.8 million of 0% index basket knock-out notes due Nov. 30, 2010 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of the S&P 500, Nikkei 225 and Dow Jones Euro Stoxx 50 indexes.
If the basket level decreases by 40% or more during the life of the notes, the payout at maturity will be par plus the basket return.
Otherwise, the payout will be par plus the greater of the basket return and 24%.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Index basket knock-out notes
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Underlying indexes: | S&P 500, Nikkei 225 and Dow Jones Euro Stoxx 50, equally weighted
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Amount: | $3,758,000
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Maturity: | Nov. 30, 2010
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If basket level falls by 40% or more during the life of the notes, par plus the basket return; otherwise, par plus the greater of the basket return and 24%
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Pricing date: | Nov. 27
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Settlement date: | Nov. 30
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 4.43%, including 2% for selling concessions
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