By Jennifer Chiou
New York, Aug. 10 - JPMorgan Chase & Co. priced $2 million of 10.8% upside autocallable reverse exchangeable notes due Feb. 9, 2012 linked to Caterpillar Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes are callable at par on any quarterly call date beginning on Sept. 6 if the closing price of Caterpillar stock is greater than the initial share price.
The payout at maturity will be par unless Caterpillar stock closes below the trigger price - 65% of the initial share price - during the life of the notes and the final share price is less than the initial share price, in which case the payout will be a number of shares of Caterpillar stock equal to $1,000 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside autocallable reverse exchangeable notes
|
| Underlying stock: | Caterpillar Inc. (Symbol: CAT)
|
| Amount: | $2 million
|
| Maturity: | Feb. 9, 2012
|
| Coupon: | 10.8%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If stock closes below 65% of initial price during life of notes and final share price is less than initial share price, Caterpillar stock equal to $1,000 divided by the initial share price; otherwise, par
|
| Initial share price: | $88.60
|
| Protection amount: | $31.01, 35% of initial share price
|
| Call option: | At par on a quarterly call date beginning on Sept. 6 if the closing share price is greater than the initial share price
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| Pricing date: | Aug. 5
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| Settlement date: | Aug. 10
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48125XG91
|
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