By Jennifer Chiou
New York, March 31 – JPMorgan Chase & Co. priced $368,000 of autocallable contingent interest notes due June 30, 2016 linked to the S&P 500 index and the iShares MSCI Brazil Capped exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying component closes at or above the 60% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 9.5% 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 60% trigger level on any day 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.
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Issue: | Autocallable contingent interest notes
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Underlying assets: | S&P 500 index and iShares MSCI Brazil Capped ETF
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Amount: | $368,000
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Maturity: | June 30, 2016
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Coupon: | 9.5% per year, payable quarterly if each component 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 component finishes at or above initial level or trigger event has not occurred, par plus the contingent coupon; if either component finishes below its initial level and a trigger event has occurred, 1% loss for every 1% decline in the lesser-performing underlying component from its initial level
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Trigger event: | Occurs if either component ever closes below trigger level during life of notes
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Call: | At par plus the coupon if each component closes at or above its initial level on any review date, other than final review date, beginning June 25, 2015
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Initial levels: | 2,056.15 for S&P, $30.96 for fund
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Barrier/trigger levels: | 1,233.69 for S&P, $18.576 for fund; 60% of initial levels
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Pricing date: | March 26
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Settlement date: | March 31
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.59239%
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Cusip: | 48125UHB1
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