By Toni Weeks
San Luis Obispo, Calif., July 31 – JPMorgan Chase & Co. priced $399,000 of autocallable contingent interest notes due Oct. 31, 2016 linked to the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon at an annualized rate of 10% if each underlying component closes at or above its barrier level, 60% of its initial level, on the review date for that quarter.
The notes will be automatically called at par plus the coupon if each underlying component closes at or above its initial level on any review date other than the final review date.
If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless either underlying component finishes below its initial level and either underlying component closes below its barrier level during the life of the notes, in which case investors will lose 1% for every 1% decline in the least-performing underlying component 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 and iShares MSCI Brazil Capped ETF
|
| Amount: | $399,000
|
| Maturity: | Oct. 31, 2016
|
| Coupon: | Each quarter, notes pay contingent coupon at annual rate of 10% if each underlying component closes at or above barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless either underlying component finishes below initial level and either underlying component closes below barrier level during life of notes, in which case 1% loss for every 1% decline in least-performing underlying component from initial level
|
| Call: | Automatically at par plus contingent coupon if each underlying component closes at or above initial level on any review date other than final date
|
| Initial levels: | 1,224.599 for index and $28.53 for ETF
|
| Barrier levels: | 734.7594 for index and $17.118 for ETF; 60% of initial levels
|
| Pricing date: | July 28
|
| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.62845%
|
| Cusip: | 48125UZD7
|
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