By Jennifer Chiou
New York, May 18 - JPMorgan Chase & Co. priced a $1 million issue of 20% annualized reverse exchangeable notes due Nov. 21, 2007 linked to Dendreon Corp. stock, according to a 424B2 filing with the Securities and Exchange Commission.
If Dendreon stock falls by more than 40% of the initial share price during the life of the notes and finishes below the initial share price, the payout will be a number of Dendreon shares equal to $1,000 divided by the initial share price.
If the stock declines by more than the protection amount, investors will share in any losses.
Interest will be payable monthly.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Reverse exchangeable notes
|
| Underlying stock: | Dendreon Corp.
|
| Amount: | $1 million
|
| Maturity: | Nov. 21, 2007
|
| Coupon: | 20% annualized, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless Dendreon stock falls by more than $2.39 during the life of the notes and finishes below the initial share price, in which case payout will be 167.2241 Dendreon shares
|
| Initial share price: | $5.98
|
| Protection amount: | $2.39, 40% of the initial share price
|
| Pricing date: | May 16
|
| Settlement date: | May 21
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 5.1%, including 3.75% for selling concessions
|
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