By Susanna Moon
Chicago, Aug. 23 - JPMorgan Chase & Co. priced $5.17 million of autocallable contingent interest notes due Aug. 25, 2016 linked to the least performing of the S&P 500 index and the Vanguard Total Stock Market index fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each component closes at or above its 75% coupon barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 6% for that quarter.
The notes will be called at par plus contingent coupon on any interest payment date if either component closes at or above its initial level on any review date other than the first, second, third and final review dates.
The payout at maturity will be par plus the contingent coupon unless either component finishes below its 67.5% trigger level, in which case investors will share fully in 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: | S&P 500 and Vanguard Total Stock Market index fund
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Amount: | $5,173,000
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Maturity: | Aug. 25, 2016
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Coupon: | 6% annualized, payable quarterly if each component closes at or above interest barrier level on review date for that quarter
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Price: | Par
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Payout at maturity: | Par plus contingent coupon unless either component finishes below trigger level, in which case full exposure to losses of worst performing component
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Call: | At par plus contingent coupon on any interest payment date if either component closes at or above its initial level on any review date other than the first, second, third and final review dates
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Coupon barrier levels: | 1,232.10 for S&P and $64.02 for Vanguard fund; 75% of initial levels
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Trigger levels: | 1,108.89 for S&P and $57.618 for Vanguard fund; 67.5% of initial levels
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Pricing date: | Aug. 21
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Settlement date: | Aug. 26
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.1%
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Cusip: | 48126NNV5
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