By Marisa Wong
Madison, Wis., Oct. 3 - JPMorgan Chase & Co. priced $2.24 million of 5% annualized bearish autocallable yield notes due April 4, 2013 linked to the better performing of the SPDR S&P Metals & Mining ETF and the Market Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called automatically at par plus accrued interest if the exchange-traded funds close at or below their initial levels on any of four monthly call dates.
A trigger event occurs if the closing price of either fund is greater than its initial price by more than the upside buffer amount - 41% of the initial price - on any day during the life of the notes.
If the notes are not called, the payout will be par plus accrued interest unless a trigger event has occurred and the final level of either fund is greater than its initial level, in which case investors will lose 1% for every 1% gain of the better performing fund.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Bearish autocallable yield notes
|
| Underlying ETFs: | SPDR S&P Metals & Mining ETF, Market Vectors Gold Miners ETF
|
| Amount: | $2.24 million
|
| Maturity: | April 4, 2013
|
| Coupon: | 5% per year, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless either fund finishes above initial level and trigger event has occurred, in which case 1% loss per 1% gain of better performing fund; trigger event occurs if closing price of either ETF is greater than its initial price by more than upside buffer amount on any day during life of notes
|
| Call: | At par if both funds close at or below initial levels on Nov. 29, Dec. 31, Jan. 30 or Feb. 27
|
| Initial prices: | $43.63 for metals ETF and $53.87 for gold ETF
|
| Buffer amount: | $17.8883 for metals ETF and $22.0867 for gold ETF, 41% of initial prices
|
| Pricing date: | Oct. 1
|
| Settlement date: | Oct. 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.25%
|
| Cusip: | 48126DAT6
|
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