Published on 12/21/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.42 million 20.6% notes linked to least-performing stock in basket
By Susanna Moon
Chicago, Dec. 21 - JPMorgan Chase & Co. priced a $1.42 million issue of 20.6% annualized reverse exchangeable notes due June 25, 2008 linked to the least-performing common stock in a basket of financial services stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The basket contains Citigroup Inc., Bank of America Corp., Goldman Sachs Group, Inc. and Merrill Lynch & Co., Inc.
Interest will be payable monthly.
The payout at maturity will be par unless any stock included in the basket 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.
The protection amount is 40% of the initial share price.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Reverse exchangeable notes
|
| Underlying stocks: | Citigroup Inc. (NYSE: C), Bank of America Corp. (NYSE: BAC), Goldman Sachs Group, Inc. (NYSE: GS) and Merrill Lynch & Co., Inc. (NYSE: MER)
|
| Amount: | $1,421,000
|
| Coupon: | 20.6%
|
| Maturity: | June 25, 2008
|
| Payout at maturity: | Par unless any stock included in the basket 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; protection amount is 40% of initial amount
|
| Initial share prices: | $29.89 for Citigroup, $41.41 for Bank of America, for $202.67 Goldman and $54.50 for Merrill
|
| Protection amounts: | $11.956 for Citigroup, $16.564 for Bank of America, $81.068 for Goldman and $21.80 for Merrill
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| Pricing date: | Dec. 20
|
| Settlement date: | Dec. 26
|
| Agent: | J.P. Morgan Securities Inc.
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| Fees: | 3.5%, including 2.5% selling concession
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