Published on 2/10/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $445,000 14% upside autocallable reverse exchangeables on Walter Energy
By Angela McDaniels
Tacoma, Wash., Feb. 10 - JPMorgan Chase & Co. priced $445,000 of upside autocallable reverse exchangeable notes due Aug. 11, 2011 linked to the common stock of Walter Energy, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes carry an annualized coupon of 14%. Interest is payable monthly.
The notes will be automatically called at par if Walter Energy stock closes above the initial share price on May 6, 2011.
The payout at maturity will be par unless Walter Energy shares close below the initial price by more than 35% 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 Walter Energy 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: | Walter Energy, Inc. (NYSE: WLT)
|
| Amount: | $445,000
|
| Maturity: | Aug. 11, 2011
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| Coupon: | 14%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If share price declines by more than 35% during life of notes and final share price is less than initial share price, 8.0109 Walter Energy shares or equivalent in cash; otherwise, par
|
| Call: | Automatically at par if Walter Energy stock closes above initial share price on May 6, 2011
|
| Initial share price: | $124.83
|
| Pricing date: | Feb. 8
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| Settlement date: | Feb. 11
|
| Agent: | J.P. Morgan Securities, LLC
|
| Fees: | 3.746%, including 2.4% for selling concessions
|
| Cusip: | 48125XEM4
|
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