Published on 8/24/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $250,000 10.5% autocallable reverse exchangeables on Silver Wheaton
By Marisa Wong
Madison, Wis., Aug. 24 - JPMorgan Chase & Co. priced $250,000 of 10.5% upside autocallable single observation reverse exchangeable notes due Aug. 23, 2012 linked to the common stock of Silver Wheaton Corp., according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be automatically called at par plus accrued interest if the closing share price on any of the four call dates is greater than the initial price. The call dates are Nov. 21, Feb. 21, May 21, 2012 and Aug. 20, 2012.
If the notes are not called, the payout at maturity will be par unless the final share price is less than 50% of the initial share price, in which case the payout will be a number of Silver Wheaton 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: | Silver Wheaton Corp. (NYSE: SLW)
|
| Amount: | $250,000
|
| Maturity: | Aug. 23, 2012
|
| Coupon: | 10.5%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless final share price is less than 50% of initial price, in which case a number of Silver Wheaton shares equal to $1,000 divided by the initial price or, at JPMorgan's option, equivalent value in cash
|
| Call: | Automatically at par if Silver Wheaton stock closes above initial price on Nov. 21, Feb. 21, May 21, 2012 or Aug. 20, 2012
|
| Initial price: | $38.44
|
| Protection amount: | $19.22, 50% of initial price
|
| Exchange ratio: | 26.0146 shares per note
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| Pricing date: | Aug. 19
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| Settlement date: | Aug. 24
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.5%
|
| Cusip: | 48125XM52
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