By Jennifer Chiou
New York, Oct. 6 - JPMorgan Chase & Co. priced $2.29 million of high/low coupon callable yield notes due Oct. 10, 2012 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if any component falls to or below 50% of its initial level during the life of the notes.
If a knock-in event does not occur during a monthly observation period, the coupon will be 15.25% for that period. If a knock-in event occurs during a monthly observation period, the coupon for that interest period and each subsequent monthly interest period will be 2%. Interest is payable monthly.
The notes are callable at par on any of the call dates: Jan. 9, April 9 and July 9, 2012.
The payout at maturity will be par unless either component falls to or below its knock-in level during the life of the notes, 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: | High/low coupon callable yield notes
|
| Underlying components: | S&P 500 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $2,293,000
|
| Maturity date: | Oct. 10, 2012
|
| Coupon: | 15.25% if either component does not fall to or below 50% of its initial level during a monthly observation period; otherwise, 2% for that period and thereafter; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless either component falls to or below its knock-in level during life of notes, in which case par plus return of worst-performing component, capped at par
|
| Initial levels: | 1,123.95 for S&P 500, $52.47 for Market Vectors Gold Miners
|
| Knock-in levels: | 561.975 for S&P 500, $26.235 for Market Vectors Gold Miners, 50% of initial levels
|
| Call option: | At par on any of the Jan. 9, April 9 and July 9, 2012 call dates
|
| Pricing date: | Oct. 6
|
| Settlement date: | Oct. 12
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.1%
|
| Cusip: | 48125X4G8
|
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