By Toni Weeks
San Diego, May 9 - JPMorgan Chase & Co. priced $400,000 of annualized 13.1% upside autocallable reverse exchangeable notes due Nov. 10, 2011 linked to McMoRan Exploration Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par on Aug. 5 if the closing price of McMoRan shares is higher than the initial price.
The payout at maturity will be par unless the final share price is less than the initial share price and the closing price has dropped by more than 45% from the initial share price on any day during the life of the notes, in which case the payout will be a number of McMoRan shares equal to $1,000 divided by 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: | McMoRan Exploration Co. (Symbol: MMR)
|
| Amount: | $400,000
|
| Maturity: | Nov. 10, 2011
|
| Coupon: | 13.1%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If final share price is less than initial price and closing price has dropped more than 45% from initial share any day during life of notes, 60.241 shares of McMoRan stock or equivalent in cash; otherwise, par
|
| Initial share price: | $16.60
|
| Protection amount: | $7.47, or 45% of initial share price
|
| Pricing date: | May 5
|
| Settlement date: | May 10
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3%
|
| Cusip: | 48125XQD1
|
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