By Jennifer Chiou
New York, Dec. 26 - JPMorgan Chase & Co. priced $5,422,000 of callable range accrual notes due Dec. 21, 2027 linked to six-month Libor and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly and will equal the interest factor times the proportion of days on which the closing level of the Russell 2000 index is at least 600, subject to a minimum rate of zero and a variable maximum rate.
The interest factor is 8.5% for the first year, 1.3 times 5% minus six-month Libor for years two through five, 1.3 times 5.5% minus six-month Libor for years six through 10 and 1.2 to 1.3 times 6% minus six-month Libor for years 11 to 15.
The coupon is capped at 8.5% for the first year, 6.5% for years two through five, 7.15% for years six through 10 and 7.8% for years 11 through 15.
The payout at maturity will be par.
The notes are callable on any interest payment date after one year.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes linked to six-month Libor and the Russell 2000 index
|
| Amount: | $5,422,000
|
| Maturity: | Dec. 21, 2027
|
| Coupon: | Interest factor multiplied by proportion of days on which index closes at or above minimum index level of 600; interest factor is 8.5% for the first year, 1.3 times 5% minus six-month Libor for years two through five, 1.3 times 5.5% minus six-month Libor for years six through 10 and 1.2 to 1.3 times 6% minus six-month Libor for years 11 to 15, subject to floor of zero; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning on Dec. 21, 2013
|
| Strike level: | 630
|
| Pricing date: | Dec. 18
|
| Settlement date: | Dec. 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 6.25%, including 3.89% for selling concessions
|
| Cusip: | 48126DLY3
|
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