By Jennifer Chiou
New York, Nov. 26 – JPMorgan Chase & Co. priced $450,000 of autocallable contingent interest notes due Nov. 27, 2017 linked to the least performing of the iShares MSCI EAFE exchange-traded fund, the iShares MSCI Emerging Markets ETF and the SPDR Euro Stoxx 50 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
If each fund closes at or above the 70% barrier level on a monthly review date, the notes will pay a contingent monthly coupon at an annualized rate of 5.75% for that month.
The notes will be automatically called at par plus the contingent coupon if each underlying fund closes at or above its initial level on any quarterly review date.
If the notes have not been called, the payout at maturity will be par unless any underlying fund finishes below its trigger level, 70% of its initial level, in which case investors will be fully exposed to the decline of the least-performing underlying fund.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
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| Underlying ETFs: iShares MSCI EAFE, iShares MSCI Emerging Markets, SPDR Euro Stoxx 50
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| Amount: | $450,000
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| Maturity: | Nov. 27, 2017
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| Coupon: | Annualized rate of 5.75% for that month if each fund closes at or above barrier level on a monthly review date
|
| Price: | Par
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| Payout at maturity: | Par plus final coupon unless final level of any underlying fund is less than trigger level, in which case full exposure to decline of least-performing underlying fund
|
| Call: | Automatically at par plus contingent coupon if each underlying fund closes at or above initial level on any quarterly review date
|
| Initial levels: | $63.78 for EAFE ETF, $42.44 for EM ETF and $38.75 for SPDR ETF; equal to closing levels on strike date
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| Interest barriers/trigger levels: | $44.646 for EAFE ETF, $29.708 for EM ETF and $27.125 for SPDR ETF; 70% of initial levels
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| Pricing date: | Nov. 21
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| Settlement date: | Nov. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.35%
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| Cusip: | 48127DW46
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