By Marisa Wong
Madison, Wis., May 8 – JPMorgan Chase & Co. priced $1 million of 19.6% autocallable reverse exchangeable notes due May 12, 2016 linked to Alnylam Pharmaceuticals, Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par if the stock closes at or above the initial share price on any quarterly review date other than the final review date.
The payout at maturity will be par unless the stock finishes below its initial level and ever closes below its 50% trigger level during the life of the notes, in which case the payout will be a number of shares equal to $1,000 divided by the initial share price.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable reverse exchangeable notes
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| Underlying stock: | Alnylam Pharmaceuticals, Inc. (Symbol: ALNY)
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| Amount: | $1 million
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| Maturity: | May 12, 2016
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| Coupon: | 19.6%, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless stock falls or ever dips below trigger level, in which case 9.61261 Alnylam shares
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| Call: | At par if stock closes at or above initial share price on any quarterly review date other than final review date
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| Strike level: | $104.03
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| Trigger level: | $52.015, 50% of initial level
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| Pricing date: | May 5
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| Settlement date: | May 12
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.48%
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| Cusip: | 46625HKY5
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