By Angela McDaniels
Tacoma, Wash., April 7 - JPMorgan Chase & Co. priced $1.56 million of 0% autocallable contingent interest notes due April 9, 2015 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, investors will receive a 1.625% contingent interest payment (equivalent to 6.5% per year) if each index closes at or above its 70% barrier level on the review date for that quarter.
The notes will be automatically called at par plus the contingent interest payment if each index closes at or above its initial level on any quarterly review date other than the final review date.
If the final level of each index is greater than or equal to its initial index level or a trigger event has not occurred, the payout at maturity will be par plus the contingent interest payment. A trigger event occurs if either index closes below its barrier level on any day during the life of the notes.
If the final level of either index is less than its initial level and a trigger event has occurred, investors will lose 1% for every 1% that the final level of the lesser performing index is less than its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1,564,000
|
| Maturity: | April 9, 2015
|
| Coupon: | 6.5% per year, payable quarterly if each index closes at or above barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above initial index level or trigger event has not occurred, par plus contingent interest payment; if either index finishes below initial level and trigger event has occurred, 1% loss for every 1% that final level of lesser performing index is less than initial level
|
| Trigger event: | Either index closes below barrier level on any day during life of notes
|
| Call: | Automatically at par plus contingent payment if each index closes at or above initial level on any quarterly review date other than final review date
|
| Initial index levels: | 1,888.77 for S&P 500 and 1,181.1198 for Russell 2000
|
| Barrier levels: | 1,322.139 for S&P 500 and 826.78386 for Russell 2000; 70% of initial levels
|
| Pricing date: | April 3
|
| Settlement date: | April 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48127DCU0
|
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