By Susanna Moon
Chicago, Aug. 26 – JPMorgan Chase & Co. priced $4.06 million of callable contingent interest notes due Aug. 24, 2017 linked to the worst performing of Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets 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 10.1% if each component closes at or above its coupon barrier level, 70% of its initial level, on the review date for that quarter.
The notes will be callable at par plus the contingent coupon on any interest payment date other than the final date.
The payout at maturity will be par unless any component finishes below its 55% trigger level, in which case investors will be fully exposed to any losses of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable contingent interest notes
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| Underlying: | Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets ETF
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| Amount: | $4.06 million
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| Maturity: | Aug. 24, 2017
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| Coupon: | 10.1% annualized, payable quarterly if each underlying component closes at or above coupon 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 any component finishes below trigger level, in which case full exposure to any losses of worst performing component
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| Call option: | At par plus contingent coupon on any interest payment date other than the final date
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| Initial levels: | 3,247.26 for Stoxx, 1,156.788 for Russell and $32.75 for MSCI EM
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| Coupon barriers: | 70% of initial levels
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| Trigger levels: | 55% 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: | 0.5%
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| Cusip: | 48125UM41
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