By Toni Weeks
San Luis Obispo, Calif., Feb. 19 - JPMorgan Chase & Co. priced $917,000 of 0% autocallable securities due Feb. 19, 2016 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a premium of 9.5% per year if the index closes at or above the initial level on any semiannual determination date other than the final date.
If the notes are not called and the final index level is greater than or equal to the initial level, the payout at maturity will be the maturity redemption payment of par plus 9.5%, or $11.90 per $10 note.
If the final index value is less than the initial level but greater than or equal to the downside threshold level, 80% of the initial level, the payout will be par. If the final index level is less than the 80% downside threshold level, investors will share fully in those losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable securities
|
| Underlying index: | Russell 2000
|
| Amount: | $917,000
|
| Maturity: | Feb. 19, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If index return is zero or positive, $11.90 per $10 note; par if index return is negative but final index level is at least 80% of initial level; otherwise, full exposure to losses from initial index level
|
| Call: | At par plus 9.5% per year if index closes at or above initial level on any semiannual determination date other than final date
|
| Initial level: | 1,149.21
|
| Downside threshold: | 919.368, 80% of initial level
|
| Pricing date: | Feb. 14
|
| Settlement date: | Feb. 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.75%
|
| Cusip: | 48127E809
|
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