By Jennifer Chiou
New York, Sept. 28 - JPMorgan Chase & Co. priced $13.7 million of 30.5% annualized reverse exchangeable notes due March 28, 2008 linked to the least-performing stock in the Dow Jones Industrial Average, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The payout at maturity will be par unless any stock included in the Dow Industrials - except for JPMorgan's own stock - falls below its protection price during the life of the notes, in which case the payout will be a number of shares of the least-performing stock equal to $1,000 divided by the stock's initial share price.
If the cash value of the physical delivery amount is greater than $1,000, investors will receive par in cash in lieu of the shares.
The protection price for each stock is 60% of its initial share price.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Reverse exchangeable notes
|
| Underlying stocks: | Stocks included in the Dow Jones Industrial Average except common stock of JPMorgan Chase
|
| Amount: | $13,702,000
|
| Maturity: | March 28, 2008
|
| Coupon: | 30.5% annualized, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par if every reference stock stays at or above 60% of its initial price; otherwise, a number of shares of the worst-performing stock equal to $1,000 divided by that stock's initial share price
|
| Protection level: | 60%
|
| Pricing date: | Sept. 26
|
| Settlement date: | Sept. 28
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 3.71%, including 2.59% for selling concessions
|
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