By Susanna Moon
Chicago, Aug. 24 - JPMorgan Chase & Co. priced $23.12 million of 12.84% upside auto callable single observation reverse exchangeable notes due Sept. 1, 2011 based on the performance of General Electric Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if General Electric stock closes above the initial share price on any of four call dates. They are Nov. 22, Feb. 22, May 20, 2011 and Aug. 22, 2011.
The payout at maturity will be par unless the stock finishes below the initial share price and falls by more than 20% during the life of the notes, in which case the payout will be a number of General Electric shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, an equivalent amount in cash.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside auto callable single observation reverse exchangeable notes
|
| Underlying stock: | General Electric Co. (NYSE: GE)
|
| Amount: | $23.12 million
|
| Maturity: | Sept. 1, 2011
|
| Coupon: | 12.84%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If the stock finishes below its initial level and falls by more than protection amount during the life of the notes, General Electric shares or equivalent in cash; otherwise, par
|
| Call: | At par if General Electric stock closes above initial share price on Nov. 22, Feb. 22, May 20, 2011 and Aug. 22, 2011
|
| Initial share price: | $15.03
|
| Protection amount: | $3.006, or 20% of initial price
|
| Pricing date: | Aug. 20
|
| Settlement date: | Aug. 25
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 48124AZV2
|
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