By Toni Weeks
San Diego, March 30 - JPMorgan Chase & Co. priced $2.16 million of 10% upside autocallable single observation reverse exchangeable notes due March 30, 2012 linked to Valero Energy Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par plus accrued interest if Valero stock closes above the initial share price on a quarterly call date beginning June 27.
The payout at maturity will be par unless the final share price has dropped by more than the protection amount of $8.871, or 30% of the initial share price, in which case the payout will be 33.8181 Valero shares per $1,000 of notes 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 single observation reverse exchangeable notes
|
| Underlying stock: | Valero Energy Corp. (Symbol: VLO)
|
| Amount: | $2,155,000
|
| Maturity: | March 30, 2012
|
| Coupon: | 10%, payable monthly
|
| Price: | Par
|
| Call: | At par plus accrued interest if Valero stock closes above the initial share price on a quarterly observation date beginning June 27
|
| Payout at maturity: | If final share price has dropped more than 30% from initial share, 33.8181 Valero shares or equivalent in cash; otherwise, par
|
| Initial share price: | $29.57
|
| Protection amount: | $8.871, or 30% of initial share price
|
| Pricing date: | March 28
|
| Settlement date: | March 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.752%, including 3.042% for selling concessions
|
| Cusip: | 48125XKJ4
|
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