By Marisa Wong
Madison, Wis., June 28 - JPMorgan Chase & Co. priced $866,000 of 9.25% autocallable yield notes due June 30, 2014 linked to the iShares MSCI Brazil capped index fund and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par plus accrued interest if both components close at or above their initial levels on any quarterly call date.
A trigger event will occur if either component falls below the 70% trigger level on any trading day during the life of the notes.
The payout at maturity will be par unless a trigger event occurs and the return of the worse performing component is negative, in which case investors will share in losses of the worse performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable yield notes
|
| Underlying components: | iShares MSCI Brazil capped index fund and Russell 2000 index
|
| Amount: | $866,000
|
| Maturity: | June 30, 2014
|
| Coupon: | 9.25%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless either component falls by more than buffer during life of notes and worse performing component finishes below initial level, in which case full exposure to losses of worse performing component
|
| Call: | At par if both components close at or above initial levels on quarterly call date
|
| Initial index levels: | $43.77 for fund and 961.26 for Russell
|
| Buffer amounts: | $13.131 for fund and 288.378 for index; 30% of initial levels
|
| Pricing date: | June 25
|
| Settlement date: | June 28
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48126NCS4
|
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