By Marisa Wong
Madison, Wis., Feb. 11 - JPMorgan Chase & Co. priced $25.88 million of 7% annualized equity-linked notes due Aug. 16, 2011 linked to the common stock of Cisco Systems, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
Each note has a face amount of $22.0608. This was set by the calculation agent and is higher than the stock's $22.04 closing price on the pricing date.
Interest is payable monthly.
If the final share price is less than or equal to the lower put strike price - 85% of the initial strike price - the payout will be 95.60229% of the lower put strike price.
If the final share price is greater than the lower put strike price but less than the upper put strike price, the payout at maturity will be 95.60229% of the final share price. The upper put strike price is 104.6% of the initial share price.
The payout will be par if the final share price is greater than or equal to the upper put strike price and less than the call strike price, which is 105% of the initial price.
Otherwise, the payout will be par plus 0.65% for every 1% that the final share price exceeds the call strike price.
At its option, the issuer can make the payout in cash or Cisco stock.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Equity-linked notes
|
| Underlying stock: | Cisco Systems, Inc. (Nasdaq: CSCO)
|
| Amount: | $25,877,318.40
|
| Maturity: | Aug. 16, 2011
|
| Coupon: | 7% per year, payable monthly
|
| Price: | Par of $22.0608
|
| Payout at maturity: | If final share price is less than or equal to lower put strike price, 95.60229% of lower put strike price; if final share price is greater than lower put strike price but less than upper put strike price, 95.60229% of final share price; if final share price is greater than or equal to upper put strike price and less than call strike price, par; otherwise, par plus 0.65% for every 1% final share price exceeds call strike price; payable in cash or stock
|
| Initial strike price: | $22.0608
|
| Lower put strike price: | $18.75168, 85% of initial share price
|
| Upper put strike price | $23.07560, 104.6% of initial share price
|
| Call strike price: | $23.16384, 105% of initial strike price
|
| Pricing date: | Feb. 9
|
| Settlement date: | Feb. 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.15%
|
| Cusip: | 46634X393
|
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