By Toni Weeks
San Luis Obispo, Calif., Jan. 29 – JPMorgan Chase & Co. priced $263,000 of autocallable contingent interest notes due May 2, 2016 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.
If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7.5% for that interest period.
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 underlying component closes below the 70% trigger level during the life of the notes.
If the notes are not called and each component finishes at or above its initial level or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.
If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in 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
|
| Underlyings: | Russell 2000 index and the iShares MSCI Emerging Markets ETF
|
| Amount: | $263,000
|
| Maturity: | May 2, 2016
|
| Coupon: | 7.5% per year, payable quarterly if each component closes at or above its barrier level on the observation date for that quarter
|
| Price: | Par
|
| Trigger event: | Occurs if either component closes below trigger level during life of notes
|
| Payout at maturity: | If each component finishes at or above initial level or a trigger event has not occurred, par plus contingent coupon; if either component finishes below initial level and trigger event has occurred, full exposure to decline of lesser-performing component
|
| Call: | At par plus the coupon if each component closes at or above its initial level on any review date
|
| Initial levels: | 1,194.658 for Russell, $40.56 for EM fund
|
| Coupon barriers/triggers: | 836.2606 for Russell, $28.392 for EM fund; 70% of initial levels
|
| Pricing date: | Jan. 27
|
| Settlement date: | Jan. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.59506%
|
| Cusip: | 48127D4W5
|
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