Published on 8/12/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.31 million 9% autocallable yield notes on Russell, SPDR Metals
By Susanna Moon
Chicago, Aug. 12 - JPMorgan Chase & Co. priced $2.31 million of 9% annualized autocallable yield notes due Feb. 15, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if each underlying component closes above its initial level on the call date, Nov. 9.
The payout at maturity will be par unless either underlying component falls below its trigger level - 65% of its initial level - during the life of the notes and finishes below its initial level, in which case investors will receive par plus the return of the worst-performing underlying component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable yield notes
|
| Underlying components: | Russell 2000 and SPDR S&P Metals & Mining exchange-traded fund
|
| Amount: | $2,312,000
|
| Maturity: | Feb. 15, 2012
|
| Coupon: | 9%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If either underlying component falls by more than 35% during the life of the notes and finishes below its initial level, par plus the return of the worst-performing underlying component; otherwise, par
|
| Call: | At par if components close above initial levels on Nov. 9
|
| Initial levels: | 660.21 for Russell and $53.86 for SPDR metals
|
| Protection amounts: | 231.0735 for Russell and $18.851 for SPDR metals, 35% of initial levels
|
| Pricing date: | Aug. 10
|
| Settlement date: | Aug. 15
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 6%, including 2.25% for selling concessions
|
| Cusip: | 48125XG67
|
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