By Toni Weeks
San Diego, June 30 - JPMorgan Chase & Co. priced $3.4 million of high/low coupon callable yield notes due June 29, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if any underlying component falls to or below 65% of its initial level during the life of the notes.
If a knock-out event never occurs, the coupon will be 12.75% per year.
If a knock-out event occurs during any monthly monitoring period, the coupon for that interest period and each subsequent interest period will be 4%. Interest is payable monthly.
The notes are callable at par on Dec. 30, 2011 and March 30, 2012.
The payout at maturity will be par unless any component falls to or below its knock-out 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: | Russell 2000 index, Market Vectors Gold Miners exchange-traded fund and iShares MSCI Brazil index fund
|
| Amount: | $3,399,000
|
| Maturity: | June 29, 2012
|
| Coupon: | 12.75% per year if no component falls to or below 65% of its initial level; otherwise 4% for the monthly monitoring period in which knock-out occurs and each subsequent period; payable monthly
|
| Price: | Par
|
| Payout at maturity: | If knock-out event occurs, par plus the return of the worst-performing component, up to maximum of par; otherwise, par
|
| Initial levels: | 817.31 for Russell, $53.16 for gold fund, $72.27 for Brazil fund
|
| Knock-out buffer amount: | 286.0585 for Russell, $18.606 for gold fund, $25.2945 for Brazil fund, 35% of initial levels
|
| Call option: | At par on Dec. 30, 2011 and March 30, 2012
|
| Pricing date: | June 28
|
| Settlement date: | June 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.85%
|
| Cusip: | 48125XWD4
|
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