Published on 7/11/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1 million 67% reverse exchangeables linked to InterOil
By Angela McDaniels
Seattle, July 11 - JPMorgan Chase & Co. priced a $1 million issue of reverse exchangeable notes due Oct. 18, 2007 linked to the common stock of InterOil Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The three-month notes will pay 16.75% for an annualized rate of 67%. Interest is payable at maturity.
The payout at maturity, in addition to interest, will be par unless InterOil stock falls by more than 40% during the life of the notes and finishes below the initial share price, in which case the payout will be a number of InterOil 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.
|
| Issue: | Reverse exchangeable notes
|
| Underlying stock: | InterOil Corp.
|
| Amount: | $1 million
|
| Maturity: | Oct. 18, 2007
|
| Coupon: | 67%, payable at maturity
|
| Price: | Par
|
| Payout at maturity: | If InterOil stock falls by more than the protection amount during the life of the notes and finishes below the initial share price, 39.6511 InterOil shares or, at JPMorgan's option, the equivalent cash value; otherwise, par
|
| Initial share price: | $25.22
|
| Protection amount: | $10.09, 40% of initial share price
|
| Pricing date: | July 10
|
| Settlement date: | July 18
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 3.08%, including 1.25% for selling concessions
|
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