By Susanna Moon
Chicago, March 20 - JPMorgan Chase & Co. priced $10 million of callable contingent interest notes due Sept. 21, 2015 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A trigger event occurs if either index or fund closes below the 60% trigger level on the final review date.
If each component closes at or above its trigger level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7.7% for that quarter.
The notes are called at par plus the contingent coupon on any interest payment date other than the final date.
The payout at maturity will be par plus the contingent coupon unless any component finishes below the initial level and a trigger event has occurred, in which case the payout will be par plus the return of the worse-performing component with full exposure to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest notes
|
| Underlying indexes: | S&P 500, Russell 2000 and iShares MSCI EAFE index fund
|
| Amount: | $10 million
|
| Maturity: | Sept. 21, 2015
|
| Contingent coupon: | 7.7% per year if each index closes at or above trigger level on review date, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless either index falls and ever closes below trigger level, in which case be par plus return of worse-performing index, capped at par
|
| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final review date
|
| Trigger levels: | 932.712 for S&P, 566.34 for Russell and $35.508 for fund, 60% of initial levels
|
| Pricing date: | March 18
|
| Settlement date: | March 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.806%, including 1.6% for selling concessions
|
| Cusip: | 48126DD30
|
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