Published on 5/29/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.48 million 19% notes linked to least-performing stock in basket
By Susanna Moon
Chicago, May 29 - JPMorgan Chase & Co. priced $2.48 million of 19% annualized reverse exchangeable notes due Dec. 2, 2008 linked to the least-performing common stock in a basket of five companies, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The stocks are Peabody Energy Corp., Freeport-McMoRan Copper & Gold, Inc., Halliburton Co., Schlumberger Ltd. and Exxon Mobil Corp.
The payout at maturity will be par if every basket stock stays at or above 60% of its initial level during the life of the notes. Otherwise, the payout will be a number of shares of the worst-performing stock equal to par divided by the initial price of that stock, or the equivalent in cash.
If the cash value of the shares is greater than $1,000, investors will instead receive par in cash.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Reverse exchangeable notes
|
| Underlying stocks: | Peabody Energy Corp. (NYSE: BTU), Freeport-McMoRan Copper & Gold, Inc. (NYSE: FCX), Halliburton Co. (NYSE: HAL), Schlumberger Ltd. (NYSE: SLB) and Exxon Mobil Corp. (NYSE: XOM)
|
| Amount: | $2,484,000
|
| Maturity: | Dec. 2, 2008
|
| Coupon: | 19%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par if every reference stock stays at or above protection level; otherwise, a number of shares of the worst-performing stock equal to par divided by that stock's initial share price, or equivalent in cash
|
| Initial share prices: | $74.64 for Peabody, $119.69 for Freeport-McMoRan, $48.90 for Halliburton, $102.89 for Schlumberger and $90.43 for Exxon Mobil
|
| Protection amounts: | $29.856 for Peabody, $47.876 for Freeport-McMoRan, $19.56 for Halliburton, $41.156 for Schlumberger and $36.172 for Exxon Mobil; 40% of initial prices
|
| Pricing date: | May 28
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| Settlement date: | June 2
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| Agent: | J.P. Morgan Securities Inc.
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| Fees: | 4.348% including 3.128% for selling concessions
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