By Susanna Moon
Chicago, March 25 - JPMorgan Chase & Co. priced $540,000 of 18.75% annualized upside autocallable reverse exchangeable notes due Sept. 28, 2011 linked to Patriot Coal Corp. 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 Patriot Coal stock closes above the initial share price on the call date of June 23.
The payout at maturity will be par unless the final share price is less than the initial share price and on any day during the life of the notes the closing share price falls by more than 40% from the initial price, in which case the payout will be a number of Patriot Coal 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 reverse exchangeable notes
|
| Underlying stock: | Patriot Coal Corp. (NYSE: PCX)
|
| Amount: | $540,000
|
| Maturity: | Sept. 28, 2011
|
| Coupon: | 18.75%, payable monthly
|
| Price: | Par
|
| Call: | At par plus accrued interest if Patriot Coal stock closes above the initial share price on June 23
|
| Payout at maturity: | If final share price is less than initial share price and closing share price falls by more than protection amount from initial share price during life of notes, 40.0962 Patriot Coal shares or equivalent in cash; otherwise, par
|
| Initial share price: | $24.94
|
| Protection amount: | $9.976, or 40% of initial share price
|
| Pricing date: | March 23
|
| Settlement date: | March 28
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.497%, including 2.375% for selling concessions
|
| Cusip: | 48125XKL9
|
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