By E. Janene Geiss
Philadelphia, Feb. 25 - JPMorgan Chase & Co. priced $775,000 of upside auto callable reverse exchangeable notes due Aug. 29, 2011 linked to the common stock of Alpha Natural Resources, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The six-month notes pay 6% for an annualized coupon of 12%. Interest is payable monthly.
The notes will be called at par if Alpha Natural Resources stock closes above the initial share price on May 30.
The payout at maturity will be par unless Alpha Natural stock closes below 70% of the initial share price during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Alpha Natural 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 auto callable reverse exchangeable notes
|
| Underlying stock: | Alpha Natural Resources, Inc. (NYSE: ANR)
|
| Amount: | $775,000
|
| Maturity: | Aug. 29, 2011
|
| Coupon: | 12%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If Alpha Natural stock closes below initial share price by more than protection amount during life of notes and final share price is less than initial share price, 18.7547 Alpha Natural Resources shares or the cash value thereof; otherwise, par
|
| Call: | Automatically at par if Alpha Natural stock closes above initial share price on May 30
|
| Initial share price: | $53.32
|
| Protection amount: | $15.996, 30% of initial price
|
| Pricing date: | Feb. 23
|
| Settlement date: | Feb. 28
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.117%, including 2.5% for selling concessions
|
| Cusip: | 48125XFM3
|
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