By Susanna Moon
Chicago, Dec. 2 – JPMorgan Chase & Co. priced $841,000 of autocallable contingent interest notes due Feb. 29, 2016 linked to the worse performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7% if each underlying component closes at or above the 70% coupon 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 quarterly call date.
A trigger event will occur if any component ever closes below its 70% trigger level on any day during the life of the notes.
The payout at maturity will be par unless any underlying component finishes below its initial level and a trigger event occurs, 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: | Russell 2000 index and iShares MSCI Emerging Markets ETF
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| Amount: | $841,000
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| Maturity: | Feb. 29, 2016
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| Coupon: | 7% annualized, payable for each quarter that both components close at or above coupon barrier level on review date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any component falls and any component ever dips below trigger level during life of notes, 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 quarterly call date
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| Barrier levels: | 830.858 for Russell and $29.463 for EM fund; 70% of initial levels
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| Pricing date: | Nov. 24
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| Settlement date: | Nov. 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.71998%
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| Cusip: | 48127DS74
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