By Susanna Moon
Chicago, July 5 - JPMorgan Chase & Co. priced $10.35 million of callable contingent interest notes due July 8, 2016 linked to the least 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 index 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% for that quarter.
The payout at maturity will be par plus the contingent coupon unless either index finishes below its barrier level, in which case investors will share fully in any losses of the worst performing index.
The notes are callable at par plus the contingent coupon on any quarterly interest payment date other than the first, second, third and final payment dates.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $10,349,000
|
| Maturity: | July 8, 2016
|
| Coupon: | 7% annualized, payable quarterly if each index closes at or above interest barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless either index finishes below trigger level, in which case full exposure to losses of worst performing index
|
| Call option: | At par plus contingent coupon on any interest payment date other than first, second, third and final payment dates
|
| Initial levels: | 1,614.08 for S&P and 989.47 for Russell
|
| Barrier levels: | 968.448 for S&P and 593.682 for Russell; 60% of initial levels
|
| Pricing date: | July 2
|
| Settlement date: | July 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%
|
| Cusip: | 48126NGK7
|
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