By Susanna Moon
Chicago, Aug. 24 - JPMorgan Chase & Co. priced $1.18 million of 14.55% annualized upside auto callable single observation reverse exchangeable notes due Feb. 25, 2011 based on the performance of International Paper Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if International Paper stock closes above the initial share price on Nov. 22.
The payout at maturity will be par unless the stock finishes below the initial share price and falls by more than 30% during the life of the notes, in which case the payout will be a number of International Paper shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, an equivalent amount in cash.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside auto callable single observation reverse exchangeable notes
|
| Underlying stock: | International Paper Co. (NYSE: IP)
|
| Amount: | $1,177,000
|
| Maturity: | Feb. 25, 2011
|
| Coupon: | 14.55% per year, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If the stock finishes below its initial level and falls by more than protection amount during the life of the notes, 47.1476 International Paper shares or equivalent in cash; otherwise, par
|
| Call: | At par if International Paper stock closes above initial share price on Nov. 22
|
| Initial share price: | $21.21
|
| Protection amount: | $6.363, or 30% of initial price
|
| Pricing date: | Aug. 20
|
| Settlement date: | Aug. 25
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 3.859%, including 2.5% for selling concessions
|
| Cusip: | 48124AZR1
|
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