By Toni Weeks
San Diego, July 20 - JPMorgan Chase & Co. priced $1 million of 10.5% autocallable yield notes due July 23, 2013 linked to the United States Oil Fund, LP and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be automatically called at par plus accrued interest if both components close above their initial levels on any of nine quarterly call dates.
A trigger event will occur if either component falls below the trigger level, 65% of the initial level, on any trading day.
If a trigger event does not occur or if it does and the return of the least-performing component is zero or positive, investors will receive par at maturity.
If a trigger event occurs and the return of the least-performing component is negative, investors will share in those losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable yield notes
|
| Underlying components: | United States Oil Fund, LP and Russell 2000 index
|
| Amount: | $1 million
|
| Maturity: | July 23, 2013
|
| Coupon: | 10.5%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If neither component falls below 65% of initial level during life of notes, par; if trigger event occurs and return of worst-performing component is zero or positive, par; full exposure to losses if trigger event occurs and return of worst-performing component is negative
|
| Call: | At par if both underlying components close at or above initial levels on nine quarterly call dates
|
| Initial levels: | $33.69 for oil fund, 805.06 for Russell
|
| Buffer amount: | $11.7915 for oil fund, 281.771 for Russell, 35% of initial levels
|
| Pricing date: | July 18
|
| Settlement date: | July 23
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.3%, including 2.5% for selling concessions
|
| Cusip: | 48125VT42
|
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