Published on 8/28/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.52 million 15% notes linked to worst performer of five stocks
By Susanna Moon
Chicago, Aug. 28 - JPMorgan Chase & Co. priced $2.52 million of 15% reverse exchangeable notes due Feb. 28, 2008 linked to the least-performing stock in a basket of five stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the common stocks of Bear Stearns Cos. Inc., Goldman Sachs Group, Inc., Lehman Brothers Holdings Inc., Merrill Lynch & Co., Inc. and Morgan Stanley.
Interest is payable monthly.
The payout at maturity will be par unless any stock included in the basket falls by more than 50% 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 that stock's initial share price or, at the JPMorgan's option, the equivalent cash value. If the cash value of the shares is $1,000 or more, investors will instead receive par.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Reverse exchangeable notes
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| Underlying basket: | Common stocks of Bear Stearns Cos. Inc. (NYSE: BSC), Goldman Sachs Group, Inc. (NYSE: GS), Lehman Brothers Holdings Inc. (NYSE: LEH), Merrill Lynch & Co., Inc. (NYSE: MER) and Morgan Stanley (NYSE: MS)
|
| Amount: | $2,516,000
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| Maturity: | Feb. 28, 2008
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| Coupon: | 15%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If any basket stock closes below its protection price during the life of the notes, a number of shares of the least-performing stock equal to $1,000 divided by that stock's initial share price; otherwise, par
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| Initial share price: | $117.10 for Bear Stearns; $179.73 for Goldman Sachs; $60.37 for Lehman; $76.17 for Merrill Lynch; $64.54 for Morgan Stanley
|
| Protection price: | 50% of initial share price
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| Pricing date: | Aug. 24
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| Settlement date: | Aug. 28
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| Agent: | J.P. Morgan Securities Inc.
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| Fees: | 3.1%, including 2.3% for selling concessions
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