Published on 2/26/2008 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $906,000 10.5% reverse exchangeables linked to Hewlett-Packard
By Angela McDaniels
Tacoma, Wash., Feb. 26 - JPMorgan Chase & Co. priced $906,000 of reverse exchangeable notes due May 30, 2008 linked to the common stock of Hewlett-Packard Co., according to a 424B2 filing with the Securities and Exchange Commission.
The three-month notes will pay 2.625% for an annualized rate of 10.5%. Interest is payable monthly.
The payout at maturity will be par unless Hewlett-Packard stock falls by more than 20% during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Hewlett-Packard shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, the equivalent cash value.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Reverse exchangeable notes
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Underlying stock: | Hewlett-Packard Co. (NYSE: HPQ)
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Amount: | $906,000
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Maturity: | May 30, 2008
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Coupon: | 10.5%, payable monthly
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Price: | Par
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Payout at maturity: | If Hewlett-Packard stock falls by more than the protection amount during the life of the notes and the final share price is less than the initial share price, 20.7771 Hewlett-Packard shares or the equivalent cash value; otherwise, par
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Initial share price: | $48.13
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Protection amount: | $9.626, 20% of initial share price
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Pricing date: | Feb. 25
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Settlement date: | Feb. 29
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 2.2%, including 1.7% for selling concessions
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