Published on 3/13/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $24.62 million 0% lesser index annual review notes linked to Stoxx, Nikkei
By Jennifer Chiou
New York, March 13 - JPMorgan Chase & Co. priced a $24.62 million issue of 0% lesser index annual review notes due March 24, 2010 linked to the Dow Jones Euro Stoxx 50 and Nikkei 225 indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums depending on the performance of the indexes. For each $1,000 principal amount, the redemption amount will be par plus 15.8% if the notes are called on March 19, 2008, par plus 31.6% if called on March 19, 2009 and par plus 47.4% if called on March 19, 2010. The call will be triggered if both indexes are at or above 90% of their initial levels on the first review date and at or above their initial levels on subsequent review dates.
If the notes are not called, investors will receive par unless one or both indexes declines by more than 10%. Investors will lose 1.1111% of the principal amount for every 1% decline in the lesser-performing index beyond 10%.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Lesser index annual review notes
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| Underlying indexes: | Dow Jones Euro Stoxx 50 and Nikkei 225
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| Amount: | $24.62 million
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| Maturity: | March 24, 2010
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| Coupon: | 0%
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| Price: | Par
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| Call: | Par plus 15.8% if called on March 19, 2008, par plus 31.6% if called on March 19, 2009 and par plus 47.4% if called on March 19, 2010; call is triggered if both indexes are at least 90% of their initial levels for the first review date and at or above their initial levels for subsequent review dates
|
| Payout at maturity: | If the notes are not called, investors will receive par unless one or both indexes declines by more than 10%; investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%
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| Initial index levels: | 4,091.67 for Euro Stoxx 50; 17,164.04 for Nikkei 225
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| Pricing date: | March 9
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| Settlement date: | March 14
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| Agent: | J.P. Morgan Securities Inc.
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| Agent fees: | 3.06%, including 1.53% for selling concessions
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