By Jennifer Chiou
New York, Dec. 14 - JPMorgan Chase & Co. priced $2.87 million of 10.5% upside auto callable single observation reverse exchangeable notes due Dec. 15, 2011 linked to the common stock of Ford Motor Co., according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if Ford stock closes above the initial share price on any of the four call dates: March 10, 2011, June 10, 2011, Sept. 12, 2011 and Dec. 12, 2011.
If the notes are not called, the payout at maturity will be par unless Ford stock closes below 80% of its initial 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 Ford shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, a cash amount equal to the value of those shares.
The observation date is Dec. 12, 2011.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside auto callable single observation reverse exchangeable notes
|
| Underlying stock: | Ford Motor Co. (Symbol: F)
|
| Amount: | $2,869,000
|
| Maturity: | Dec. 15, 2011
|
| Coupon: | 10.5%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If Ford stock closes below initial price by more than protection amount during life of notes and finishes below initial price, Ford shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, a cash amount equal to the value of those shares; otherwise, par
|
| Call: | At par if Ford stock closes above initial share price on any of the four call dates
|
| Initial share price: | $16.73
|
| Protection amount: | $3.346, 20% of initial share price
|
| Pricing date: | Dec. 10
|
| Settlement date: | Dec. 15
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.737%, including 2.119% for selling concessions
|
| Cusip: | 48124A4N4
|
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