By Jennifer Chiou
New York, May 30 - JPMorgan Chase & Co. priced $359,000 of autocallable contingent interest notes due May 29, 2015 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying index closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 6.5% for that interest period.
If each index closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the coupon.
A trigger event occurs if either underlying index closes below the 70% trigger level on any day during the life of the notes.
If the notes have not been called, a trigger event has not occurred and the indexes both finish at or above their initial levels, the payout at maturity will be par plus the contingent coupon.
If either underlying index finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying index from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $359,000
|
| Maturity: | May 29, 2015
|
| Coupon: | 6.5% per year, payable quarterly if each underlying index closes at or above barrier level on a quarterly review date
|
| Price: | Par
|
| Payout at maturity: | If each index closes at or above initial level and a trigger event has not occurred, par plus the coupon; otherwise, investors will lose 1% for every 1% decline in lesser-performing underlying index from its initial level
|
| Call: | At par plus coupon if each index closes at or above its initial level on any review date other than final review date
|
| Initial levels: | 1,911.91 for S&P 500, 1,142.201 for Russell 2000
|
| Barrier/trigger levels: | 1,338.337 for S&P 500, 799.5407 for Russell 2000; 70% of initial levels
|
| Pricing date: | May 27
|
| Settlement date: | May 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.20125%
|
| Cusip: | 48127DGP7
|
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