By Toni Weeks
San Luis Obispo, Calif., May 15 - JPMorgan Chase & Co. priced $900,000 of autocallable contingent interest notes due May 18, 2015 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 with the Securities and Exchange Commission.
If each underlying closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 6% for that quarter.
If each underlying 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 closes below its 70% trigger level on any day during the life of the notes.
If the notes have not been called and the final level of each underlying is greater than or equal to its initial level or a trigger event has not occurred, the payout at maturity will be par plus the coupon. If either underlying finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying components: | Russell 2000 index and iShares MSCI Emerging Markets ETF
|
| Amount: | $900,000
|
| Maturity: | May 18, 2015
|
| Coupon: | 6%, payable if fund closes at or above trigger level on quarterly review date
|
| Price: | Par of $1,000
|
| Payout at maturity: | If final level of each underlying is at or above its initial level or a trigger event has not occurred, par plus the coupon; if either underlying finishes below its initial level and a trigger event has occurred, 1% loss for every 1% decline in lesser-performing component
|
| Call: | At par plus contingent coupon if each underlying closes at or above its initial level on any quarterly review date other than final review date
|
| Trigger event: | Occurs if either underlying closes below 70% trigger level on any day during the life of the notes
|
| Initial levels: | 1,121.164 for index, $42.48 for fund
|
| Barrier/trigger levels: | 784.8148 for index, $29.736 for fund, 70% of initial share price
|
| Pricing date: | May 13
|
| Settlement date: | May 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48127DHS0
|
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