By Toni Weeks
San Luis Obispo, Calif., Nov. 27 - JPMorgan Chase & Co. priced $810,000 of autocallable contingent interest notes due Dec. 1, 2014 linked to the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 8.25% 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 coupon.
A trigger event occurs if either underlying component closes below the 70% trigger level during the life of the notes.
If the notes have not been called and a trigger event has not occurred or each component finishes at or above its initial level, the payout at maturity will be par.
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.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying components: | Russell 2000 index and iShares MSCI Emerging Markets ETF
|
| Amount: | $810,000
|
| Maturity: | Dec. 1, 2014
|
| Coupon: | 8.25% per year, payable quarterly if index closes at or above trigger price that quarter
|
| Price: | Par
|
| Payout at maturity: | If the return or each underlying component is zero or positive or a trigger event has not occurred, par; if either component finishes below initial level and trigger event has occurred, full exposure to decline of lesser-performing component
|
| Trigger event: | Either underlying component closes below 70% trigger level during life of notes
|
| Call: | At par plus contingent coupon if each component closes at or above initial level on any review date other than final review date
|
| Initial levels: | 1,124.73 for index, $41.51 for ETF
|
| Barrier/trigger levels: | 787.311 for index, $29.057 for ETF, 70% of initial levels
|
| Pricing date: | Nov. 25
|
| Settlement date: | Nov. 29
|
| Underwriter: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48126NF28
|
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