By Toni Weeks
San Luis Obispo, Calif., July 30 – JPMorgan Chase & Co. priced $1.53 million of autocallable contingent interest notes due Nov. 2, 2015 linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying component closes at or above the 70% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7.5% for that interest period.
If each 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 either underlying component closes below the 70% trigger level during the life of the notes.
If the notes are not called and each component finishes at or above its initial level or a trigger event has not occurred, the payout at maturity will be par plus the contingent coupon.
If either underlying component finishes below its initial level and a trigger event has occurred, investors will lose 1% for every 1% decline in the lesser-performing underlying component from its initial level.
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: | Russell 2000, iShares MSCI EAFE ETF
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Amount: | $1,528,000
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Maturity: | Nov. 2, 2015
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Coupon: | 7.5% per year, payable quarterly if each underlying component closes at or above barrier level on a quarterly review date
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Price: | Par
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Payout at maturity: | If each component finishes at or above initial level or trigger event has not occurred, par plus the contingent coupon; if either component finishes below its initial level and a trigger event has occurred, 1% loss for every 1% decline in the lesser-performing underlying component from its initial level
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Trigger event: | Occurs if either component closes below trigger level during life of notes
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Call: | At par plus coupon if each component closes at or above its initial level on any review date other than final review date
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Initial levels: | 1,139.502 for index, $67.96 for fund
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Barrier/trigger levels: | 797.6514 for index, $47.572 for fund; 70% of initial levels
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Pricing date: | July 28
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Settlement date: | July 31
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.19634%
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Cusip: | 48127DRN0
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