By Jennifer Chiou
New York, Dec. 26 - JPMorgan Chase & Co. priced $800,000 of callable range accrual notes due Dec. 27, 2027 linked to six-month Libor and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly and will equal the interest factor times the proportion of days in the interest period on which the closing level of the Russell 2000 index is at least 630 and six-month Libor is less than or equal to the applicable strike level, subject to a minimum rate of zero.
The interest factor and Libor strike level are both initially 4.5%. Both will step up to 5.5% on Dec. 27, 2017 and to 6% on Dec. 27, 2022.
The payout at maturity will be par.
The notes are callable on any quarterly interest payment date after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable range accrual notes linked to six-month Libor and the Russell 2000 index
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| Amount: | $800,000
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| Maturity: | Dec. 27, 2027
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| Coupon: | Interest factor multiplied by proportion of days on which index closes at or above minimum index level of 630; interest factor and Libor strike level both initially 4.5%, stepping up to 5.5% on Dec. 27, 2017 and to 6% on Dec. 27, 2022, subject to floor of zero; payable quarterly
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| Price: | Variable
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date beginning Dec. 27, 2013
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| Strike level: | 630
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 27
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 6.01%
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| Cusip: | 48126DMA4
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