By Angela McDaniels
Tacoma, Wash., Feb. 19 – JPMorgan Chase & Co. priced $1.5 million of autocallable contingent interest notes due Feb. 23, 2018 linked to the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a coupon at an annualized rate of 8.5% if each underlying component closes at or above its interest barrier, 70% of its initial level, on the review date for that month.
The notes will be automatically called at par plus the coupon if each underlying component closes at or above its initial level on any quarterly autocall review date.
A trigger event occurs if any underlying component closes below its trigger value, 60% of its initial level, on any day during the life of the notes.
If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless any component finishes below its initial level and a trigger event has occurred, in which case investors will lose 1% for every 1% decline in the least-performing underlying from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying components: | Russell 2000 index, iShares MSCI EAFE ETF and iShares MSCI Emerging Markets ETF
|
| Amount: | $1.5 million
|
| Maturity: | Feb. 23, 2018
|
| Coupon: | Each month, notes pay contingent coupon at annual rate of 8.5% if each underlying component closes at or above interest barrier on review date for that month
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless any component closes below trigger value during life of notes and any component finishes below initial level, in which case 1% loss for every 1% decline in least-performing underlying from initial level
|
| Call: | Automatically at par plus contingent coupon if each underlying component closes at or above initial level on any quarterly autocall review date
|
| Initial levels: | 1,225.014 for Russell 2000, $63.97 for iShares MSCI EAFE ETF and $40.57 for iShares MSCI Emerging Markets ETF
|
| Interest barriers: | 857.5098 for Russell 2000, $44.779 for iShares MSCI EAFE ETF and $28.399 for iShares MSCI Emerging Markets ETF; 70% of initial levels
|
| Trigger values: | 735.0084 for Russell 2000, $38.382 for iShares MSCI EAFE ETF and $24.342 for iShares MSCI Emerging Markets ETF; 60% of initial levels
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| Pricing date: | Feb. 17
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| Settlement date: | Feb. 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.2%
|
| Cusip: | 48125UFA5
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