By Susanna Moon
Chicago, Oct. 31 – JPMorgan Chase & Co. priced $1.4 million of autocallable contingent interest notes due Jan. 29, 2016 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 with the Securities and Exchange Commission.
The notes will pay a coupon at an annual rate of 7.75% if each underlying component closes at or above the 70% barrier level on a review date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any interest payment date other than final date.
The payout at maturity will be par unless any underlying component finishes below its 70% barrier level, in which case investors will be fully exposed to any losses of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying components: | S&P 500 index, the Russell 2000 index
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| Amount: | $1,397,000
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| Maturity: | Jan. 29, 2016
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| Coupon: | 7.75% annualized, payable if each component closes at or above coupon barrier level on quarterly review date
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any component finishes below trigger level, in which case full exposure to any losses of worst performing component
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| Call: | At par if each index closes at or above initial level on any interest payment date other than final date
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| Barrier levels: | 1,389.535 for S&P, 804.6164 for Russell; 70% of initial levels
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| Pricing date: | Oct. 28
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| Settlement date: | Oct. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.27387%
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| Cusip: | 48127DH68
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