Published on 11/1/2012 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.5 million 10.5% autocallable yield notes linked to Russell, oil fund
By Susanna Moon
Chicago, Nov. 1 - JPMorgan Chase & Co. priced $1.5 million of 10.5% autocallable yield notes due Oct. 31, 2013 linked to the Russell 2000 index and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
A knock-out event occurs if any underlying component ever falls by more than the 35% knock-out level during the life of the notes.
The notes will be called at par if any component finishes above its initial level on any review date.
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: | Autocallable yield notes
|
| Underlying components: | Russell 2000 and United States Oil Fund, LP
|
| Amount: | $1.5 million
|
| Maturity: | Oct. 31, 2013
|
| Coupon: | 10.5%, 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. 28, 2013, Feb. 25, 2013, March 25, 2013, April 25, 2013, May 28, 2013, June 25, 2013, July 26, 2013, Aug. 27, 2013 and Sept. 25, 2013
|
| Initial levels: | 813.25 for Russell, $31.79 for oil fund
|
| Knock-out buffer level: | 284.6375 for Russell, $11.1265 for oil fund; 35% of initial levels
|
| Knock-in event: | If any component falls by more than knock-out level
|
| Pricing date: | Oct. 26
|
| Settlement date: | Oct. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.58%, including 2.25% for selling concessions
|
| Cusip: | 48126DFA2
|
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