By Toni Weeks
San Luis Obispo, Calif., April 24 - JPMorgan Chase & Co. priced $5 million of 5.25% single observation autocallable yield notes due April 27, 2015 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes will be automatically called at par if the closing level of each index is greater than or equal to its respective underlying strike level on any quarterly call date. Each index's strike level was determined at pricing by the calculation agent and is not the official closing level of the index on that date.
If the notes are not called, the payout at maturity will be par if the return of the worst-performing index is negative 30% or higher. If either index falls by more than 30%, investors will be fully exposed to the decline in the worst-performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Single observation autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $5 million
|
| Maturity: | April 27, 2015
|
| Coupon: | 5.25%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Full exposure to decline of worst-performing index if final level of either index is less than 70% of its initial level; otherwise, par
|
| Call: | At par if each index closes at or above its underlying strike level on any quarterly call date
|
| Underlying strike levels: | 1,558.0 for S&P 500 and 912.0 for Russell
|
| Buffer levels: | 467.4 for S&P 500 and 273.6 for Russell, 30% of initial levels
|
| Pricing date: | April 22
|
| Settlement date: | April 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.15%
|
| Cusip: | 48126D2K4
|
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