By Toni Weeks
San Luis Obispo, Calif., Feb. 26 – JPMorgan Chase & Co. priced $4.73 million of autocallable contingent interest notes due May 27, 2016 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.
If each underlying index closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 8% for that interest period.
If each index 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 index closes below the 70% trigger level during the life of the notes.
If the notes are not called and 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.
If either underlying index finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying index from its initial level.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Autocallable contingent interest notes
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $4,732,000
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Maturity: | May 27, 2016
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Coupon: | 8% per year, payable quarterly if each underlying index closes at or above barrier level on a quarterly review date
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Price: | Par
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Payout at maturity: | If each index finishes at or above initial level or trigger event has not occurred, par plus the contingent coupon; if either index finishes below its initial level and a trigger event has occurred, 1% loss for every 1% decline in the lesser-performing underlying index from its initial level
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Trigger event: | Occurs if either index closes below trigger level during life of notes
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Call: | At par plus coupon if each index closes at or above its initial level on any review date other than final review date
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Initial levels: | 2,115.48 for S&P 500, 1,233.975 for Russell 2000
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Barrier/trigger levels: | 1,480.836 for S&P 500, 863.7825 for Russell 2000; 70% of initial levels
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Pricing date: | Feb. 24
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Settlement date: | Feb. 27
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.12334%
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Cusip: | 48125UAM4
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