By Marisa Wong
Madison, Wis., Jan. 27 - JPMorgan Chase & Co. priced $1.58 million of 11% autocallable yield notes due Jan. 30, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par plus accrued interest if the indexes close above their initial levels on any quarterly observation date.
A trigger event occurs if either index falls below the 65% trigger level on any trading day during the life of the notes.
If a trigger event does not occur, investors will receive par at maturity.
If a trigger event occurs but the least-performing index finishes at or above its initial level, investors will receive par.
Otherwise, investors will be exposed to the decline of the least-performing index from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,578,000
|
| Maturity: | Jan. 30, 2013
|
| Coupon: | 11%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par if both indexes stay above trigger levels during life of notes or a trigger event occurs but the return of the least-performing index is at least zero; otherwise, full exposure to the decline of the least-performing index
|
| Call: | At par if both underlying indexes close at or above initial levels on quarterly observation date beginning April 25
|
| Initial levels: | 1,326.05 for S&P, 795.64 for Russell
|
| Buffer levels: | 464.1175 for S&P, 278.474 for Russell; 35% of initial levels
|
| Pricing date: | Jan. 25
|
| Settlement date: | Jan. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.35%
|
| Cusip: | 48125VJX9
|
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