By Jennifer Chiou
New York, Dec. 29 – JPMorgan Chase & Co. priced $487,000 of autocallable contingent interest notes due March 29, 2016 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying asset closes at or above the 67.5% barrier level on a quarterly review date, the notes will pay a contingent coupon at an annualized rate of 10% for that quarter.
The notes will be automatically called at par plus the contingent coupon if each underlying asset closes at or above its initial level on any quarterly review date other than the final date.
A trigger event occurs if either underlying asset closes below the 67.5% trigger level during the life of the notes.
If the notes are not called and each component finishes at or above its initial level or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.
If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying component from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying assets: | Russell 2000 index, iShares MSCI Brazil Capped ETF
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| Amount: | $487,000
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| Maturity: | March 29, 2016
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| Coupon: | Annualized rate of 10% per quarter it both underlying assets close at or above the interest barrier level on a quarterly review date
|
| Price: | Par
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| Payout at maturity: | Par plus final coupon unless final level of any underlying asset is less than trigger level during the life of the notes, in which case full exposure to decline of lesser-performing underlying asset
|
| Call: | Automatically at par plus contingent coupon if each underlying asset closes at or above initial level on any quarterly review date other than the final date
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| Initial levels: | 1,202.438 for Russell 2000, $36.47 for iShares MSCI Brazil Capped ETF
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| Trigger/barrier levels: | 811.64565 for Russell 2000, $24.61725 for iShares MSCI Brazil Capped ETF, 67.5% of initial levels
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| Pricing date: | Dec. 23
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| Settlement date: | Dec. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.67454%
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| Cusip: | 48127D2B3
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