By Angela McDaniels
Tacoma, Wash., July 18 - JPMorgan Chase & Co. priced $525,000 of upside autocallable reverse exchangeable notes due Jan. 20, 2012 linked to the common stock of Silver Wheaton Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes carry a coupon of 10.75% per year. Interest is payable monthly.
The notes will be called at par if Silver Wheaton stock closes above the initial share price on Oct. 14.
The payout at maturity will be par unless Silver Wheaton stock falls by more than 40% 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 Silver Wheaton 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 autocallable reverse exchangeable notes
|
| Underlying stock: | Silver Wheaton Corp. (NYSE: SLW)
|
| Amount: | $525,000
|
| Maturity: | Jan. 20, 2012
|
| Coupon: | 10.75%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If Silver Wheaton stock falls by more than protection amount during life of notes and final share price is less than initial share price, 26.3227 Silver Wheaton shares or equivalent in cash; otherwise, par
|
| Call: | Automatically at par if Silver Wheaton stock closes at or above initial share price on Oct. 14
|
| Initial share price: | $37.99
|
| Protection amount: | $15.196, 40% of initial share price
|
| Pricing date: | July 14
|
| Settlement date: | July 19
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.154%, including 2% for selling concessions
|
| Cusip: | 48125XYV2
|
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