By Marisa Wong
Madison, Wis., March 28 - JPMorgan Chase & Co. priced $461,000 of autocallable contingent interest notes due March 31, 2015 linked to the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying component closes at or above its 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 8% for that quarter.
If each 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 component closes below its 70% trigger level on any day during the life of the notes.
If the notes have not been called and (i) each component finishes at or above its initial level or (ii) a trigger event has not occurred, the payout at maturity will be par plus the contingent interest payment.
If either underlying component finishes below its initial level and a trigger event has occurred, investors will be fully exposed to the decline of the lesser-performing underlying 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 and iShares MSCI Brazil Capped ETF
|
| Amount: | $461,000
|
| Maturity: | March 31, 2015
|
| Coupon: | 8% 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 each component's return is zero or positive or a trigger event has not occurred, par plus the contingent coupon; if either component finishes below its initial level and a trigger event has occurred, full exposure to decline of lesser-performing component
|
| Call: | At par plus coupon if each component closes at or above initial level on any review date other than final review date
|
| Trigger event: | Occurs if either component closes below its 70% trigger level on any day during life of notes
|
| Initial levels: | 1,155.4862 for index, $42.52 for fund
|
| Barrier/trigger levels: | 808.84034 for index, $29.764 for fund, 70% of initial levels
|
| Pricing date: | March 26
|
| Settlement date: | March 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.32592%
|
| Cusip: | 48127DAC2
|
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