Published on 5/29/2007 in the Prospect News Structured Products Daily.
New Issue: JPMorgan Chase prices $909,000 19% reverse exchangeables linked to US Airways
By E. Janene Geiss
Philadelphia, May 29 - JPMorgan Chase & Co. priced a $909,000 issue of reverse exchangeable notes due Aug. 31, 2007 linked to the common stock of US Airways Group, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The three-month notes will pay 4.75% for an annualized rate of 19%. Interest is payable monthly.
The payout at maturity will be par unless US Airways 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 US Airways 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: | US Airways Group, Inc.
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Amount: | $909,000
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Maturity: | Aug. 31, 2007
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Coupon: | 19%, payable monthly
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Price: | Par
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Payout at maturity: | If US Airways stock falls below the protection level of $28.104 during the life of the notes and finishes below the initial share price, 28.466 US Airways shares or the equivalent cash value; otherwise, par
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Initial share price: | $35.13
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Protection level: | $28.104, 80% of initial share price
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Pricing date: | May 24
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Settlement date: | May 31
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 2.54%, including 1.895% for selling concessions
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