By Susanna Moon
Chicago, May 10 - JPMorgan Chase & Co. priced $605,000 of 13.5% upside autocallable reverse exchangeable notes due Nov. 14, 2011 linked to Walter Energy, Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if Walter Energy stock closes above the initial share price on Aug. 8.
The payout at maturity will be par unless the stock falls by more than the protection amount - 35% of the initial share price - during the life of the notes and finishes below 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, the cash equivalent.
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: | $605,000
|
| Maturity: | Nov. 14, 2011
|
| Coupon: | 13.5%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless the stock ever declines from the initial price by more than the protection amount and finishes at less than the initial share price, in which case 7.6289 Walter Energy shares
|
| Call: | At par if Walter Energy stock closes above initial share price on Aug. 8
|
| Initial share price: | $131.08
|
| Protection amount: | $45.878, 35% of initial price
|
| Pricing date: | May 6
|
| Settlement date: | May 11
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.2%, including 2% for selling concessions
|
| Cusip: | 48125XQK5
|
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