By Toni Weeks
San Luis Obispo, Calif., June 24 – JPMorgan Chase & Co. priced $2.6 million of callable contingent interest notes due June 27, 2017 linked to the lesser performing of 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% interest barrier on a semiannual review date, the notes will pay a coupon at an annualized rate of 5.9% for that period.
The issuer may call the notes in whole at its election on any of the interest payment dates, except for the last one. If the notes are called, the payout will be par plus any accrued interest.
A trigger event occurs if either underlying index finishes below the 70% trigger level.
If the notes have not been called and a trigger event has not occurred, the payout at maturity will be par. If 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.
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| Issue: | Callable contingent interest notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $2,602,000
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| Maturity: | June 27, 2017
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| Coupon: | 5.9% per year, payable semiannually if each underlying index closes at or above barrier level on a semiannual review date
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| Price: | Par
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| Payout at maturity: | Par if each index finishes at or above trigger level; otherwise, full exposure to decline in lesser-performing underlying index from its initial level
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| Call: | In whole at issuer's option on any interest payment date other than final date
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| Initial levels: | 1,962.87 for S&P 500, 1,188.426 for Russell 2000
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| Barrier/trigger levels: | 1,374.009 for S&P 500, 831.8982 for Russell 2000; 70% of initial levels
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| Pricing date: | June 20
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| Settlement date: | June 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.85%
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| Cusip: | 48127DLE6
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