Published on 8/21/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.84 million annual review notes linked to S&P 500
By Angela McDaniels
Seattle, Aug. 21 - JPMorgan Chase & Co. priced $1.84 million of 0% annual review notes due Aug. 30, 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 least 90% of its initial level on the first review date and greater than or equal to its initial level on the second and third annual review dates. The redemption amount will be par plus 10.6% if the notes are called Aug. 25, 2008, par plus 21.2% if called Aug. 25, 2009 and par plus 31.8% if called Aug. 25, 2010.
If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline 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: | $1.84 million
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Maturity: | Aug. 30, 2010
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Coupon: | 0%
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Price: | Par
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Call: | Automatically if index is at least 90% of its initial level on first review date and at or above its initial level on the second and third review dates; redemption amount will be par plus 10.6% if called Aug. 25, 2008, par plus 21.2% if called Aug. 25, 2009 and par plus 31.8% if called Aug. 25, 2010
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Payout at maturity: | If the final index level is at least 90% of its initial level, par; 1.1111% loss for each 1% decline beyond 10%
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Initial index level: | 1,445.94
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Pricing date: | Aug. 17
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Settlement date: | Aug. 22
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 3.1%, including 1.55% for selling concessions
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