Published on 10/31/2012 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.65 million high/low coupon autocallables linked to Russell, funds
By Susanna Moon
Chicago, Oct. 31 - JPMorgan Chase & Co. priced $1.65 million of high/low coupon callable yield notes due Oct. 30, 2013 linked to the Russell 2000 index, United States Oil Fund, LP and the Market Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if any underlying component ever falls by more than the 42.5% knock-out level during the life of the notes.
The coupon will be 12% if a knock-out event never occurs during any monthly observation period. Otherwise, the coupon for that period and each subsequent interest period will be 1%. Interest is payable monthly.
The notes will be called at par if any component finishes above its initial level on
The payout at maturity will be par unless any component falls to or below its knock-out level during the life of the notes and the worst-performing component finishes below its initial level, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | High/low coupon autocallable yield notes
|
| Underlying components: | Russell 2000, United States Oil Fund, LP and the Market Vectors Gold Miners ETF
|
| Amount: | $1,653,000
|
| Maturity: | Oct. 30, 2013
|
| Coupon: | 11.5% per year if neither component falls to or below knock-in level during monthly observation period; otherwise, 1% for that period and afterward; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs and worst-performing component falls, par plus return of worst-performing component, capped at par; otherwise, par
|
| Call: | At par if any component finishes above its initial level on Jan. 29, 2013, April 26, 2013 and July 29, 2013
|
| Initial levels: | 813.25 for Russell, $31.79 for oil fund, $51.24 for gold fund
|
| Knock-out buffer level: | 345.631 for Russell, $13.51075 for oil fund, $21.777 for gold fund; 42.5% of initial levels
|
| Knock-in event: | If any component falls by more than knock-out level
|
| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.58%, including 2.25% for selling concessions
|
| Cusip: | 48126DFC8
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