Published on 1/23/2012 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.85 million high/low coupon callable notes tied to index, funds
By Marisa Wong
Madison, Wis., Jan. 23 - JPMorgan Chase & Co. priced $1.85 million of high/low coupon callable yield notes due Jan. 24, 2013 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any underlying component falls to or below 60% of its initial level during a monthly observation period.
If a knock-in event never occurs, the coupon will be 16.7%. If a knock-in event occurs during any monthly observation period, the coupon for that and each subsequent interest period will be 1%. Interest is payable monthly.
The notes are callable in whole at par on April 24, July 24, 2012 or Oct. 24, 2012.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worst-performing component, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | High/low coupon callable yield notes
|
| Underlying components: | Russell 2000 index, United States Oil Fund, LP, Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $1,853,000
|
| Maturity: | Jan. 24, 2013
|
| Coupon: | 16.7% unless a knock-in event occurs, in which case 1% for that and each subsequent interest period; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If any component falls to or below 60% of initial level, par plus return of worst-performing component, up to maximum payout of par; otherwise, par
|
| Call option: | In whole at par on April 24, July 24, 2012 or Oct. 24, 2012
|
| Initial levels: | 782.37 for Russell; $52.15 for Gold Miners; $38.69 for oil fund
|
| Knock-out buffers: | 312.948 for Russell; $20.860 for Gold Miners; $15.476 for oil fund
|
| Pricing date: | Jan. 19
|
| Settlement date: | Jan. 24
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.25%
|
| Cusip: | 48125VJP6
|
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