By Toni Weeks
San Luis Obispo, Calif., Oct. 25 - JPMorgan Chase & Co. priced $1.52 million of autocallable contingent interest notes due Jan. 28, 2015 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 component closes at or above its 65% interest barrier on a quarterly review date, the notes will pay a coupon at an annualized rate of 7% for that quarter.
If each component closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the contingent coupon.
A trigger event occurs if either index closes below its 65% trigger level during the life of the notes.
If the index return of each component is zero or positive or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.
If the index return of either index is negative and a trigger event has occurred, investors will be exposed to the decline of the lesser-performing index from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $1,517,000
|
| Maturity: | Jan. 28, 2015
|
| Coupon: | 7% per year, payable quarterly if each index closes at or above trigger price that quarter
|
| Price: | Par
|
| Payout at maturity: | If index return of each component is zero or positive and trigger event has not occurred, par plus contingent coupon; if index return of either index is negative and trigger event has occurred, full exposure to decline of lesser-performing index from initial level
|
| Trigger event: | Occurs if either index closes below 65% trigger level during the life of the notes
|
| Call: | At par plus contingent coupon if each component closes at or above its initial level on any quarterly review date other than final date
|
| Initial levels: | 1,746.38 for S&P 500, 1,110.93 for Russell 2000
|
| Trigger levels: | 1,135.147 for S&P 500, 722.1045 for Russell 2000, 65% of initial levels
|
| Pricing date: | Oct. 23
|
| Settlement date: | Oct. 28
|
| Underwriter: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48126NXR3
|
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