Published on 11/26/2012 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.76 million 7.05% autocallable yield notes linked to EM, gold funds
By Susanna Moon
Chicago, Nov. 26 - JPMorgan Chase & Co. priced $1.76 million of 7.05% autocallable yield notes due Nov. 25, 2013 linked to the iShares MSCI Emerging Markets index fund and the Market Vectors Gold Miners ETF, 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 44% 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: | iShares MSCI Emerging Markets index fund and the Market Vectors Gold Miners ETF
|
| Amount: | $1,763,000
|
| Maturity: | Nov. 25, 2013
|
| Coupon: | 7.05%, 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 Feb. 21, 2013, May 22, 2013 or Aug. 21, 2013
|
| Initial levels: | $41.02 for EM fund; $47.36 for gold fund
|
| Knock-out buffer level: | $18.0488 for EM fund, $20.8384 for gold fund; 44% of initial levels
|
| Knock-in event: | If any component falls by more than knock-out level
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 26
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.213%, including 2.5% for selling concessions
|
| Cusip: | 48126DHL6
|
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