Published on 3/4/2010 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.2 million 8% upside auto callable reverse exchangeables on BP
By Jennifer Chiou
New York, March 4 - JPMorgan Chase & Co. priced $2.2 million of 8% upside auto callable reverse exchangeable notes due March 4, 2011 linked to the American Depositary Shares of BP plc, according to a 424B2 filing with the Securities and Exchange Commission.
Each ADS represents six BP ordinary shares.
Interest is payable monthly.
The notes will be automatically called at par if BP ADSs close above the initial price any of four evaluation dates. The notes will pay an interest rate of 2% if called on June 2, 2010, 4% if called on Sept. 1, 2010, 6% if called on Dec. 1, 2010 or 8% if called on March 1, 2011.
If the notes are not called, the payout at maturity will be par unless the closing price of BP ADSs are less than 80% of the initial price on the observation date of March 1, 2011. In that case, the payout will be a number of BP ADSs equal to $1,000 divided by the initial price or, at JPMorgan's option, the equivalent amount in cash.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside auto callable reverse exchangeable notes
|
| Underlying stock: | BP plc (NYSE: BP)
|
| Amount: | $2.2 million
|
| Maturity: | March 4, 2011
|
| Coupon: | 8%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If final ADS price on March 1, 2011 has declined from initial price by more than the protection amount, 18.5185 BP ADSs or equivalent in cash; otherwise, par
|
| Call: | Automatically at par plus 8% annualized if BP ADSs close above initial price on June 2, 2010, Sept. 1, 2010, Dec. 1, 2010 or March 1, 2011
|
| Initial share price: | $54.00
|
| Protection amount: | $10.80, 20% of initial price
|
| Pricing date: | March 2
|
| Settlement date: | March 5
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 3.614%, including 3.125% for selling concessions
|
| Cusip: | 48124AJC2
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