By Susanna Moon
Chicago, Aug. 5 – JPMorgan Chase & Co. priced $193,000 of autocallable contingent interest notes due Nov. 3, 2016 linked to the lesser performing of the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.5% 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 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 one.
The payout at maturity will be par unless either component finishes below its initial level and either underlying component ever closes below its barrier level during the life of the notes, in which case investors will be fully exposed to any losses of the worse 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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| Underlyings: | Russell 2000 index and iShares MSCI Brazil Capped ETF
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| Amount: | $193,000
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| Maturity: | Nov. 3, 2016
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| Coupon: | 9.5% annualized, payable quarterly if each underlying component closes at or above barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless either component falls and either component ever dips below barrier level, in which case full exposure to any losses of worse performing component
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| Call: | At par plus contingent coupon if each component closes at or above initial level on any quarterly review date other than final one
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| Initial levels: | 1,238.68 for index and $28.69 for fund
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| Barrier levels: | 60% of initial levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 48125UC75
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