Published on 1/4/2013 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $6.75 million 5.25% autocallable yield notes on S&P 500, Vanguard fund
By Susanna Moon
Chicago, Jan. 4 - JPMorgan Chase & Co. priced $6.75 million of 5.25% autocallable yield notes due July 7, 2014 linked to the Vanguard Total Stock Market index fund exchange-traded fund and the S&P 500 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 both components close above their initial levels on any quarterly call date.
A trigger event will occur if either component falls below the 60% trigger level on any trading day.
The payout at maturity will be par unless a trigger event occurs and the return of the least-performing component is negative, in which case investors will share in any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable yield notes
|
| Underlying components: | Vanguard Total Stock Market index fund ETF and the S&P 500 index
|
| Amount: | $6.75 million
|
| Maturity: | July 7, 2014
|
| Coupon: | 5.25%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless either component ever dips below 60% trigger level and worst-performing component falls, in which case full exposure to losses
|
| Call: | At par if both underlying components close at or above initial levels on April 3, 2013, July 2, 2013, Oct. 2, 2013, Jan. 2, 2014 or April 2, 2014
|
| Initial levels: | 1,462.42 for S&P, $75.14 for fund
|
| Buffer amount: | 584.968 for S&P, $30.056 for fund; 40% of initial levels
|
| Pricing date: | Jan. 2
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| Settlement date: | Jan. 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.75%, including 0.25% for selling concessions
|
| Cusip: | 48126DRX9
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