By Susanna Moon
Chicago, May 27 - JPMorgan Chase & Co. priced $329,000 of 10% upside autocallable single observation reverse exchangeable notes due May 31, 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 if Valero Energy stock closes at or above the initial share price on any of four call dates. The call dates are Aug. 26, Nov. 25, 2011, Feb. 24, 2012 and May 25, 2012.
The payout at maturity will be par unless Valero Energy stock finishes below the trigger - 80% of the initial share price - in which 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 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: | Valero Energy Corp. (Symbol: VLO)
|
| Amount: | $329,000
|
| Maturity: | May 31, 2012
|
| Coupon: | 10%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless stock finishes below trigger, in which case 38.0807 Valero Energy shares
|
| Call: | At par if Valero Energy stock closes at or above initial share price on any call date
|
| Initial share price: | $26.26
|
| Protection amount: | $5.252, or 20% of initial price
|
| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.5%, including selling concessions for 2.5%
|
| Cusip: | 48125XRB4
|
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