By Marisa Wong
Madison, Wis., March 26 - JPMorgan Chase & Co. priced $3.54 million of callable contingent interest notes due Sept. 28, 2015 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each component closes at or above its 60% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7.7% for that quarter.
The notes are callable at par plus the contingent coupon on any interest payment date other than the final date.
A trigger event occurs if either index or the fund closes below the 60% trigger level on any day during the life of the notes.
The payout at maturity will be par plus the contingent coupon unless any component finishes below the initial level and a trigger event has occurred, in which case the payout will be par plus the return of the worst-performing component with full exposure to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest notes
|
| Underlying components: | S&P 500, Russell 2000 and iShares MSCI EAFE index fund
|
| Amount: | $3.54 million
|
| Maturity: | Sept. 28, 2015
|
| Contingent coupon: | 7.7% per year if each component closes at or above barrier level on review date, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless any component falls and ever closes below trigger level, in which case par plus return of worst-performing component, capped at par
|
| Call: | At par plus contingent coupon on any quarterly review date other than final review date
|
| Barrier/trigger levels: | 931.26 for S&P, 568.32 for Russell and $35.526 for fund, 60% of initial levels
|
| Pricing date: | March 22
|
| Settlement date: | March 27
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.93%, including 1.5% for selling concessions
|
| Cusip: | 48126DE70
|
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