By Marisa Wong
Madison, Wis., Aug. 10 - JPMorgan Chase & Co. priced $2.5 million of upside autocallable reverse exchangeable notes due Feb. 13, 2012 linked to the common stock of Bank of America Corp., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes carry a coupon of 36% per year. Interest is payable monthly.
The notes will be called at par if Bank of America stock closes above the initial share price on Sept. 8, Oct. 10, Nov. 8, Dec. 8, Jan. 9 or Feb. 8.
The payout at maturity will be par unless the final price of Bank of America stock has declined from the initial share price by more than 40%, in which case the payout will be a cash amount equal to (a) $1,000 divided by the initial share price multiplied by (b) the final share price.
The initial share price selected by the calculation agent, $6.69, is not the closing price of Bank of America stock on the pricing date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside autocallable reverse exchangeable notes
|
| Underlying stock: | Bank of America Corp. (NYSE: BAC)
|
| Amount: | $2.5 million
|
| Maturity: | Feb. 13, 2012
|
| Coupon: | 36% per year, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If final share price of Bank of America stock is less than initial share price by more than protection amount, amount in cash equal to (a) $1,000 divided by the initial share price multiplied by (b) the final share price; otherwise, par
|
| Call: | Automatically at par if Bank of America stock closes at or above initial share price on Sept. 8, Oct. 10, Nov. 8, Dec. 8, Jan. 9 or Feb. 8
|
| Initial share price: | $6.69
|
| Protection amount: | $2.676, 40% of initial share price
|
| Pricing date: | Aug. 8
|
| Settlement date: | Aug. 11
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48125XH66
|
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