By Susanna Moon
Chicago, Feb. 19 – JPMorgan Chase & Co. priced $537,000 of callable contingent interest notes due May 18, 2016 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of at least 6.25% if each underlying index closes at or above the 65% coupon barrier level on a review date for that quarter.
The notes are callable at par on any interest payment date other than the final date.
A trigger event occurs if either underlying index ever closes below the 65% trigger level during the life of the notes.
If each index 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.
Otherwise, the payout will be par plus the return of the worst performing index with full exposure to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable contingent interest notes
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| Underlying components: | S&P 500 index, Russell 2000 index
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| Amount: | $537,000
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| Maturity: | May 18, 2016
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| Coupon: | 6.25% per year, payable quarterly if each index closes at or above its barrier level on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index gains or either never dips below trigger level, par plus contingent coupon; otherwise, full exposure to any losses of worst performing index
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| Call option: | At par on any interest payment date other than the final date
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| Initial levels: | 2,096.99 for S&P, 1,223.131 for Russell
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| Barrier levels: | 65% of initial levels
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| Pricing date: | Feb. 13
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| Settlement date: | Feb. 19
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48125UAL6
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