By Marisa Wong
Madison, Wis., June 29 – JPMorgan Chase & Co. priced $450,000 of autocallable contingent interest notes due Sept. 29, 2016 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 7% if each component closes at or above its barrier level, 70% of its initial level, on the review date for that quarter.
The notes will be automatically called at par plus the contingent coupon if each component closes at or above its initial level on any quarterly review date other than the final review date.
If the notes have not been called, the payout at maturity will be par unless either component closes below its barrier level on any day during the life of the notes and either component finishes below its initial level, in which case investors will be fully exposed to the decline of the lesser-performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| 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: | $450,000
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| Maturity: | Sept. 29, 2016
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| Coupon: | Notes pay quarterly contingent coupon at annual rate of 7% if each underlying component closes at or above barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless either component falls below barrier level during life of notes and either component finishes below initial level, in which case full exposure to decline of lesser-performing component
|
| Call: | Automatically at par plus contingent coupon if each component closes at or above initial level on any quarterly review date other than final one
|
| Initial levels: | 1,283.281 for Russell 2000, $40.31 for ETF
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| Barrier levels: | 898.2967 for Russell 2000, $28.217 for ETF; 70% of initial levels
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| Pricing date: | June 25
|
| Settlement date: | June 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.80556%
|
| Cusip: | 48125UVZ2
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