By Angela McDaniels
Tacoma, Wash., July 30 - JPMorgan Chase & Co. priced $2.1 million of autocallable contingent interest notes due July 31, 2014 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 index closes at or above its trigger level, 60% of its initial level, on a quarterly review date, the notes will pay a 2.575% coupon that quarter, which is equivalent to 10.3% per year. If either index closes below the trigger level on the review date, no coupon will be paid that quarter.
If each index closes at or above its initial level on any of the review dates other than the final review date, the notes will be automatically called at par plus the contingent coupon.
If the notes have not been called and (a) the level of each index is greater than or equal to its trigger level at all times on each day during the life of the notes or (b) the final level of each index is greater than or equal to its initial level, the payout at maturity will be par plus the contingent coupon.
If the notes have not been called and (a) the level of either index is less than its trigger level at any time on any day during the life of the notes and (b) the final level of either index is less than its initial level, investors will lose 1% for every 1% that the final level of the lesser-performing index is less than its initial level, subject to any contingent coupon payable at maturity.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
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| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2.1 million
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| Maturity: | July 31, 2014
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| Contingent coupon: | If each index closes at or above trigger level on review date, notes will pay 2.575% coupon that quarter (equivalent to 10.3% per year)
|
| Price: | Par
|
| Payout at maturity: | If (a) each index remains at or above trigger level at all times on each day during life of notes or (b) each index finishes at or above initial level, par plus contingent coupon; if (a) either index falls below trigger level at any time on any day during life of notes and (b) either index finishes below initial level, 1% loss for every 1% that final level of lesser-performing index is less than initial level, subject to any contingent coupon payable at maturity
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| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final review date
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| Initial index levels: | 1,337.89 for S&P 500 and 769.31 for Russell 2000
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| Trigger levels: | 802.734 for S&P 500 and 461.586 for Russell 2000; 60% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.407%, including 1.4% for selling concessions
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| Cusip: | 48125VX54
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