New Issue: JPMorgan prices $2.19 million autocallable notes linked to Russell, Stoxx Europe

By Toni Weeks

San Luis Obispo, Calif., June 27 – JPMorgan Chase & Co. priced $2.19 million of 0% autocallable notes due June 30, 2017 linked to the lesser performing of the Russell 2000 index and the Stoxx Europe 600 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called automatically at par plus a call premium of 13% per year if each index closes at or above its initial price on any of three annual call dates.

If the notes have not been called and the final level of each index is greater than or equal to its barrier level, 80% of its initial level, then the payout at maturity will be par. If either index finishes below its barrier level, investors will share fully in the losses of the least-performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable notes
Underlying indexes:	Russell 2000 and Stoxx Europe 600
Amount:	$2,192,000
Maturity:	June 30, 2017
Coupon:	0%
Price:	Par
Call:	Par plus annualized call premium of 13% if both indexes finish at or above their initial levels on annual call date
Payout at maturity:	Par unless either index finishes below barrier level, in which case full exposure to least-performing index
Initial levels:	1,182.679 for Russell, 341.94 for Stoxx Europe
Barrier levels:	946.1432 for Russell, 273.552 for Stoxx Europe, 80% of initial levels
Pricing date:	June 25
Settlement date:	June 30
Agent:	J.P. Morgan Securities LLC
Fees:	2.25%
Cusip:	48127DLQ9

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