Published on 2/11/2010 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3 million 10% upside auto callable reverse exchangeables on Valero
By Jennifer Chiou
New York, Feb. 11 - JPMorgan Chase & Co. priced $3 million of 10% upside auto callable single observation reverse exchangeable notes due Feb. 16, 2011 linked to the common stock of Valero Energy Corp., according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be automatically called at par if Valero Energy stock closes above the initial share price any of four evaluation dates. The notes will pay an interest rate of 2.5% if called on May 12, 2010, 5% if called on Aug. 11, 2010, 7.5% if called on Nov. 10, 2010 or 10% if called on Feb. 11, 2011.
If the notes are not called, the payout at maturity will be par unless the closing price of Valero Energy stock is less than 80% of the initial share price on the observation date of Feb. 11, 2011. In that case, the payout will be a number of Valero Energy shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, the equivalent amount in cash.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside auto callable single observation reverse exchangeable notes
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| Underlying stock: | Valero Energy Corp. (NYSE: VLO)
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| Amount: | $3 million
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| Maturity: | Feb. 16, 2011
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| Coupon: | 10%, payable monthly
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| Price: | Par
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| Payout at maturity: | If final share price on Feb. 11, 2011 has declined from initial share price by more than the protection amount, 55.5556 Valero Energy shares or equivalent in cash; otherwise, par
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| Call: | Automatically at par plus 10% annualized if Valero Energy stock closes above initial share price on May 12, 2010, Aug. 11, 2010, Nov. 10, 2010 or Feb. 11, 2011
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| Initial share price: | $18.00
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| Protection amount: | $3.60, 20% of initial price
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| Pricing date: | Feb. 10
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| Settlement date: | Feb. 16
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| Agent: | J.P. Morgan Securities Inc.
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| Fees: | 3.683%, including 3.1% for selling concessions
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| Cusip: | 48124AHB6
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