Published on 3/24/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $629,000 19.15% upside autocallable reverse exchangeables on LDK Solar
By Susanna Moon
Chicago, March 24 - JPMorgan Chase & Co. priced $629,000 of 19.15% upside autocallable single observation reverse exchangeable notes due March 23, 2012 linked to LDK Solar Co., Ltd. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par plus accrued interest if LDK Solar stock closes above the initial share price on any of four call dates. They are June 22, 2011, Sept. 21, 2011, Dec. 21, 2011 and March 20, 2012.
The payout at maturity will be par unless the final share price falls by more than 40%, or $4.50, from the initial share price, in which case the payout will be a number of LDK Solar 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 single observation reverse exchangeable notes
|
| Underlying stock: | LDK Solar Co., Ltd. (Symbol: LDK)
|
| Amount: | $629,000
|
| Maturity: | March 23, 2012
|
| Coupon: | 19.15%, payable monthly
|
| Price: | Par
|
| Call: | At par plus accrued interest if LDK Solar stock closes above the initial share price on June 22, 2011, Sept. 21, 2011, Dec. 21, 2011 or March 20, 2012
|
| Payout at maturity: | If final share price falls by more than protection amount from initial share price, 88.8888 LDK Solar shares or equivalent in cash; otherwise, par
|
| Initial share price: | $11.25
|
| Protection amount: | $4.50, or 40% of initial share price
|
| Pricing date: | March 22
|
| Settlement date: | March 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.5%, including 2% for selling concessions
|
| Cusip: | 48125XJM9
|
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