Published on 12/28/2012 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $12.81 million contingent coupon callable yield notes on indexes, fund
By Toni Weeks
San Diego, Dec. 27 - JPMorgan Chase & Co. priced $12.81 million of contingent coupon callable yield notes due June 29, 2015 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly coupon at an annualized rate of 8.1% if each underlying component closes at or above its 60% barrier level on the observation date for that quarter.
The notes are callable at par plus the contingent coupon on any interest payment date other than the maturity date.
The payout at maturity will be par unless either index or the fund finishes below its 60% knock-in level, in which case investors will receive par plus the return of the worst-performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent coupon callable yield notes
|
| Underlying components: | S&P 500 index, Russell 2000 index and iShares MSCI EAFE index fund
|
| Amount: | $12,814,000
|
| Maturity: | June 29, 2015
|
| Coupon: | 8.1% per year if each component closes at or above 60% barrier level on observation date for quarter; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless any component finishes below 60% knock-in level, in which case par plus return of worst-performing component
|
| Call option: | At par plus contingent coupon on any interest payment date other than the maturity date beginning March 27
|
| Knock-in event: | If any component finishes at or below its knock-in level on June 24, 2015
|
| Initial levels: | 1,430.15 for S&P 500, 847.92 for Russell and $56.52 for fund
|
| Knock-in levels: | 858.09 for S&P 500, 508.752 for Russell and $33.912 for fund; 60%, of initial levels
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 27
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.573%, including 1.75% for selling concessions
|
| Cusip: | 48126DJP5
|
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