By Susanna Moon
Chicago, May 16 - JPMorgan Chase & Co. priced $1.1 million of autocallable contingent interest notes due May 18, 2016 linked to the lesser performing of the Russell 2000 index, iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets ETF, according to a 424B2 with the Securities and Exchange Commission.
If each underlying component closes at or above the 60% barrier level on a quarterly review date, the notes will pay a coupon at an annual rate of 7% for that quarter.
If each underlying component closes at or above its initial level on any review date other than the final review date, the notes will be called at par plus the coupon.
A trigger event occurs if any underlying component closes below its 60% trigger level on any day during the life of the notes.
If the notes have not been called and the each underlying component finishes at or above its initial level or a trigger event has not occurred, the payout at maturity will be par plus the coupon.
If either underlying component finishes below its initial level and a trigger event has occurred, investors will be exposed to any losses of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying components: | Russell 2000 index, iShares MSCI EAFE ETF and iShares MSCI Emerging Markets ETF
|
| Amount: | $1.1 million
|
| Maturity: | May 18, 2016
|
| Coupon: | 7%, payable if each component closes at or above trigger level on quarterly review date
|
| Price: | Par of $1,000
|
| Payout at maturity: | If each component gains or never dips below trigger level during life of notes, par plus the coupon; if any component falls and any component closed below trigger level during life of notes, exposure to any losses of worst performing component
|
| Call: | At par plus contingent coupon if each underlying closes at or above its initial level on any quarterly review date other than final review date
|
| Trigger levels: | 672.6984 for index, $41.262 for EAFE fund, $25.488 for EM fund, 60% of initial share price
|
| Pricing date: | May 13
|
| Settlement date: | May 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2%
|
| Cusip: | 48127DJD1
|
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