By Angela McDaniels
Tacoma, Wash., Nov. 29 - JPMorgan Chase & Co. priced $575,000 of upside auto callable reverse exchangeable notes due May 31, 2011 linked to the common stock of Lincoln National Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes carry an annualized coupon of 10.75%. Interest is payable monthly.
The notes will be called at par if Lincoln National stock closes above the initial share price on Feb. 23.
The payout at maturity will be par unless Lincoln National stock closes below 70% of its 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 Lincoln National 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.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside auto callable reverse exchangeable notes
|
| Underlying stock: | Lincoln National Corp. (NYSE: LNC)
|
| Amount: | $575,000
|
| Maturity: | May 31, 2011
|
| Coupon: | 10.75%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If Lincoln National stock falls below initial share price by more than protection amount during life of notes and final share price is less than initial share price, 41.9287 Lincoln National shares or equivalent value in cash; otherwise, par
|
| Call: | Automatically at par if Lincoln National stock closes above initial share price on Feb. 23
|
| Initial share price: | $23.85
|
| Protection amount: | $7.155, or 30% of initial share price
|
| Pricing date: | Nov. 24
|
| Settlement date: | Nov. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.752%, including 2.5% for selling concessions
|
| Cusip: | 48124A3U9
|
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