By Angela McDaniels
Tacoma, Wash., Aug. 4 - JPMorgan Chase & Co. priced $2 million of upside autocallable reverse exchangeable notes due Feb. 7, 2012 linked to the common stock of Citigroup Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes carry a coupon of 9.36% per year. Interest is payable monthly.
The notes will be called at par if Citigroup stock closes above the initial share price on Sept. 2, Oct. 3, Nov. 2, Dec. 2, Jan. 3 or Feb. 2.
The payout at maturity will be par unless the final price of Citigroup stock has declined from the initial share price by more than 35%, in which case the payout will be a cash amount equal to (a) $1,000 divided by the initial share price multiplied by (b) the final share price.
The initial share price selected by the calculation agent, $37.72, is not the closing price of Citigroup stock on the pricing date, which was $37.03.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside autocallable reverse exchangeable notes
|
| Underlying stock: | Citigroup Inc. (NYSE: C)
|
| Amount: | $2 million
|
| Maturity: | Feb. 7, 2012
|
| Coupon: | 9.36%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If final share price of Citigroup stock is less than initial share price by more than protection amount, amount in cash equal to 26.51113 multiplied by final share price; otherwise, par
|
| Call: | Automatically at par if Citigroup stock closes at or above initial share price on Sept. 2, Oct. 3, Nov. 2, Dec. 2, Jan. 3 or Feb. 2
|
| Initial share price: | $37.72
|
| Protection amount: | $13.202, 35% of initial share price
|
| Pricing date: | Aug. 2
|
| Settlement date: | Aug. 5
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48125XG75
|
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