By Marisa Wong
Madison, Wis., June 30 – JPMorgan Chase & Co. priced $2.96 million of autocallable contingent interest notes due Sept. 29, 2016 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at a rate of 7% per year if each index 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 index 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 index closes below its barrier level on any day during the life of the notes and either index finishes below its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.
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 indexes: | S&P 500 and Russell 2000
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| Amount: | $2.96 million
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| Maturity: | Sept. 29, 2016
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| Coupon: | 7% per year, payable each quarter that each index closes at or above its barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index closes below its barrier level on any day during the life of the notes and either index finishes below its initial level, in which case full exposure to the decline of the lesser-performing index
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| Call: | At par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the final review date
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| Initial index levels: | 2,102.31 for the S&P 500 and 1,283.281 for Russell 2000
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| Trigger levels: | 1,471.617 for the S&P 500 and 898.2967 for Russell 2000; 70% of initial levels
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| Pricing date: | June 25
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| Settlement date: | June 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.26904%
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| Cusip: | 48125UVW9
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