By Angela McDaniels
Tacoma, Wash., Jan. 30- JPMorgan Chase & Co. priced $1.15 million of autocallable contingent interest notes due Feb. 2, 2015 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.
Each quarter, the notes will pay a coupon of 1.75% (equivalent to 7% per year) if each underlying component closes at or above its barrier level, 70% of its initial level, on the review date for that quarter.
If each underlying 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 closes below its barrier 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 finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing 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, iShares MSCI Emerging Markets ETF
|
| Amount: | $1,153,000
|
| Maturity: | Feb. 2, 2015
|
| Coupon: | 7% per year, payable quarterly if each underlying component closes at or above barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If neither component closes below barrier level during life of notes or both components finish at or above initial levels, par; otherwise, 1% loss for every 1% decline in lesser-performing component from initial level
|
| Call: | At par plus coupon if each component closes at or above its initial level on April 25, 2014, July 28, 2014 or Oct. 28, 2014
|
| Initial levels: | 1,138.24 for index and $38.33 for fund
|
| Barrier levels: | 796.768 for index and $26.831 for fund, 70% of initial levels
|
| Pricing date: | Jan. 28
|
| Settlement date: | Jan. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.596%, including up to 1.75% for selling commissions
|
| Cusip: | 48126NS65
|
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