By Susanna Moon
Chicago, May 27 - JPMorgan Chase & Co. priced $640,000 of 15.75% upside autocallable single observation reverse exchangeable notes due May 31, 2012 linked to Silver Wheaton Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if Silver Wheaton stock closes at or above the initial share price on any call date. The call dates are Aug. 26, Nov. 25, 2011, Feb. 24, 2012 and May 25, 2012.
The payout at maturity will be par unless Silver Wheaton stock finishes below the trigger - 75% of the initial share price - in which case the payout will be a number of Silver Wheaton shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, the equivalent value in cash.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside autocallable single observation reverse exchangeable notes
|
| Underlying stock: | Silver Wheaton Corp. (Symbol: SLW)
|
| Amount: | $640,000
|
| Maturity: | May 31, 2012
|
| Coupon: | 15.75%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless stock falls below trigger during life of the notes and finish below initial price, in which case 27.3000 Silver Wheaton shares
|
| Call: | At par if Silver Wheaton stock closes at or above initial share price on July 13
|
| Initial share price: | $36.63
|
| Protection amount: | $9.1575, or 25% of initial price
|
| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.65%, including selling concessions for 2.075%
|
| Cusip: | 48125XRC2
|
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