Published on 4/21/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $575,000 17.5% reverse exchangeables linked to financials stock basket
By Angela McDaniels
Tacoma, Wash., April 21 - JPMorgan Chase & Co. priced $575,000 of reverse exchangeable notes due Oct. 23, 2008 linked to the common stocks of Bank of America Corp., Citigroup Inc. and Goldman Sachs Group, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes will pay 8.75% for an annualized coupon of 17.5%. Interest is payable monthly.
The payout at maturity will be par unless any of the three reference stocks falls by more than 40% during the life of the notes, in which case the payout will be a number of shares of the worst-performing stock equal to $1,000 divided by the initial price of that stock or, at JPMorgan's option, the equivalent value in cash.
If the cash value of the physical delivery amount 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: | Bank of America Corp. (NYSE: BAC), Citigroup Inc. (NYSE: C) and Goldman Sachs Group, Inc. (NYSE: GS)
|
| Amount: | $575,000
|
| Maturity: | Oct. 23, 2008
|
| Coupon: | 17.5%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If any stock declines by more than its protection amount during the life of the notes, a number of shares of the worst-performing stock equal to its exchange ratio or the equivalent value in cash; otherwise, par
|
| Initial share prices: | $38.56 for Bank of America, $25.11 for Citigroup and $179.93 for Goldman Sachs
|
| Protection amounts: | $15.424 for Bank of America, $10.044 for Citigroup and $71.972 for Goldman Sachs; 40% of initial share price
|
| Exchange ratio: | 25.9336 for Bank of America, 39.8248 for Citigroup and 5.5577 for Goldman Sachs
|
| Pricing date: | April 18
|
| Settlement date: | April 23
|
| Agent: | J.P. Morgan Securities
|
| Fees: | 4%, including 2.9% for selling concessions
|
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