By Jennifer Chiou
New York, March 22 - JPMorgan Chase & Co. priced $5 million of 7.25% single observation autocallable yield notes due March 25, 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 quarterly.
The notes will be called automatically at par if both indexes close at or above their initial levels on any of the quarterly call dates.
A trigger event will occur if either index falls by more than 35% during the life of the notes.
The payout at maturity will be par unless either index finishes below its initial level and a trigger event has occurred, in which case investors will lose 1% for every 1% that the worst-performing index declines below its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Single observation autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $5 million
|
| Maturity: | March 25, 2013
|
| Coupon: | 7.25%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index finishes below its initial level and a trigger event has occurred, full exposure to decline of worst-performing index; otherwise, par
|
| Trigger event: | Either index declines by more than buffer amount during life of notes
|
| Call: | Automatically at par if both indexes close at or above their initial levels on any of the quarterly call dates
|
| Initial levels: | 1,402.86 for S&P 500, 830.91 for Russell 2000
|
| Buffer amounts: | 491.001 for S&P 500 and 290.8185 for Russell 2000; 35% of initial levels
|
| Pricing date: | March 20
|
| Settlement date: | March 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.95%
|
| Cusip: | 48125VSQ4
|
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