New Issue: JPMorgan prices $1.72 million autocallable contingent interest notes on index, ETFs

By Marisa Wong

Madison, Wis., Aug. 8 – JPMorgan Chase & Co. priced $1.72 million of autocallable contingent interest notes due Aug. 10, 2017 linked to the least performing of the iShares MSCI EAFE exchange-traded fund, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon at an annual rate of 8.5% if each underlying component closes at or above its interest barrier, 70% of its initial level, on the review date for that month.

Beginning Nov. 10, the notes will be automatically called at par plus the contingent coupon if each underlying component closes at or above its initial level on any quarterly autocall review date.

If the notes have not been called, the payout at maturity will be par plus the final coupon unless the final level of any underlying component is less than its initial level and any underlying component closes below its trigger level, 60% of its initial level, during the life of the notes, in which case investors will be fully exposed to the decline of the least-performing underlying component.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying components:	iShares MSCI EAFE ETF, Russell 2000 index and iShares MSCI Emerging Markets ETF
Amount:	$1.72 million
Maturity:	Aug. 10, 2017
Coupon:	8.5% per year, payable monthly if each underlying component closes at or above its interest barrier on review date for that month
Price:	Par
Payout at maturity:	Par plus final coupon unless final level of any underlying component is less than its initial level and any underlying component closes below its trigger level during life of notes, in which case investors will be fully exposed to decline of least-performing underlying component
Call:	Automatically at par plus contingent coupon if each underlying component closes at or above its initial level on any quarterly autocall review date beginning Nov. 10
Initial levels:	$65.43 for iShares EAFE, $43.49 for iShares EM, 1,125.551 for Russell
Barrier levels:	$45.801 for iShares EAFE, 787.8857 for Russell, $30.443 for iShares EM; 70% of initial levels
Trigger levels:	$39.258 for iShares EAFE, 675.3306 for Russell, $26.094 for iShares EM; 60% of initial levels
Pricing date:	Aug. 6
Settlement date:	Aug. 11
Agent:	J.P. Morgan Securities LLC
Fees:	2.6%
Cusip:	48127DVR6

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