By Jennifer Chiou
New York, Feb. 14 - JPMorgan Chase & Co. priced $2.58 million of autocallable contingent interest notes due Aug. 14, 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.
A trigger event occurs if either index ever closes below the 60% trigger level during the life of the notes.
If each index closes at or above its trigger level on a quarterly review date, the notes will pay a coupon at an annualized rate of 5.85% for 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 called at par plus the contingent coupon.
If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless either of the indexes finishes below the initial level and a trigger event has occurred, in which case the payout will be par plus the return of the worse-performing index with full exposure to losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,579,000
|
| Maturity: | Aug. 14, 2014
|
| Contingent coupon: | 5.85% per year if each index closes at or above trigger level on review date, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless either index falls and ever closes below trigger level, in which case be par plus return of worse-performing index, capped at par
|
| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final review date
|
| Initial index levels: | 1,517.01 for S&P and 913.03 for Russell
|
| Trigger levels: | 910.206 for S&P, 547.818 for Russell; 60% of initial levels
|
| Pricing date: | Feb. 11
|
| Settlement date: | Feb. 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.95%, including 0.25% for selling concessions
|
| Cusip: | 48126DWV7
|
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