By Toni Weeks
San Luis Obispo, Calif., Dec. 5 - JPMorgan Chase & Co. priced $2.5 million autocallable contingent interest notes due Dec. 8, 2014 linked to the lesser performing of the Materials Select Sector SPDR fund and Energy Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each fund closes at or above its 75% interest barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 7.5% for that period.
The notes will be automatically called at par plus the contingent coupon if each fund closes at or above its initial level on any quarterly review date other than the first and final review dates.
A trigger event occurs if either fund closes below its trigger level, 75% of its initial level, during the life of the notes.
If the notes are not called and a trigger event has not occurred or each fund finishes at or above its initial level, the payout at maturity will be par plus the contingent coupon. If either underlying fund is less than its initial level and a trigger event has occurred, investors will be exposed to the decline of the lesser-performing fund.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying funds: | Materials Select Sector SPDR fund and Energy Select Sector SPDR fund
|
| Amount: | $2,498,000
|
| Maturity: | Dec. 8, 2014
|
| Coupon: | 7.5% per year, payable quarterly if each fund closes at or above its 75% interest barrier level
|
| Price: | Par
|
| Payout at maturity: | If the return of each underlying fund is zero or positive or a trigger event has not occurred, par; if either fund finishes below initial level and trigger event has occurred, full exposure to decline of lesser-performing fund
|
| Trigger event: | Either underlying fund closes below 75% trigger level during life of notes
|
| Call: | At par plus contingent coupon if each fund closes at or above initial level on June 3 or Sept. 3, 2014
|
| Initial levels: | $43.71 for materials fund, $86.71 for energy fund
|
| Barrier/trigger levels: | $32.8275 for materials fund, $65.0325 for energy fund, 75% of initial levels
|
| Pricing date: | Dec. 3
|
| Settlement date: | Dec. 6
|
| Underwriter: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48126NH42
|
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