New Issue: JPMorgan prices $3.46 million contingent coupon callable yield notes linked to D.R. Horton

By Jennifer Chiou

New York, Aug. 1 – JPMorgan Chase & Co. priced $3,456,000 of contingent coupon callable yield notes due Aug. 4, 2016 linked to D.R. Horton, Inc. shares, according to a 424B2 with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at an annualized rate of 10% if D.R. Horton shares closes at or above the barrier level, 72% of the initial share price, on the observation date for that quarter.

The payout at maturity will be par plus the contingent coupon unless D.R. Horton shares finish below the barrier level, in which case investors will be fully exposed to the decline in the share price.

The notes are callable at par plus the contingent coupon, if any, on any interest payment date other than the final interest payment date.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Contingent coupon callable yield notes
Underlying stock:	D.R. Horton, Inc. (NYSE: DHI)
Amount:	$3,456,000
Maturity:	Aug. 4, 2016
Coupon:	10% per year, payable quarterly if stock closes at or above barrier level on observation date for that quarter
Price:	Par
Payout at maturity:	Par plus contingent coupon unless stock finishes below barrier level, in which case full exposure to decline in share price
Call option:	At par plus contingent coupon, if any, on any interest payment date other than final one
Initial share price:	$20.86
Barrier/knock-in level:	$15.0192, 72% of initial price
Pricing date:	July 30
Settlement date:	Aug. 4
Agent:	J.P. Morgan Securities LLC
Fees:	1.75%
Cusip:	48127DUN6

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