New York, Sept. 2 – JPMorgan Chase & Co. priced $2.41 million of callable contingent interest notes due Sept. 5, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at an annual rate of 9.345% if each index closes at or above its barrier level, 65% of its initial level, on the review date for that quarter.
The notes are callable at par plus the contingent coupon on any interest payment date other than the first and final ones.
If the notes have not been called, the payout at maturity will be par unless either index finishes below its 65% trigger level, in which case investors will be fully exposed to the decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable contingent interest notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $2.41 million
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| Maturity: | Sept. 5, 2018
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| Coupon: | Notes pay quarterly contingent coupon at annual rate of 9.345% if each underlying index closes at or above barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless final level of either index is less than trigger level, in which case full exposure to decline of lesser-performing underlying index
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| Call: | Starting March 7, 2016, callable at par plus contingent coupon on any interest payment date other than final one
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| Initial levels: | 1,972.18 for S&P 500 and 1,159.455 for Russell 2000
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| Trigger/barrier levels: | 1,281.917 for S&P 500 and 753.64575 Russell 2000; 65% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 3
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 48125UU26
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