By Angela McDaniels
Tacoma, Wash., Aug. 5 – JPMorgan Chase & Co. priced $3.25 million of contingent income autocallable securities due Aug. 8, 2016 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 16% if the index closes at or above the downside threshold level, 80% of the initial index level, on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if the index closes at or above its initial level on any determination date other than the final one.
If the final index level is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.
Issuer: | JPMorgan Chase & Co.
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Issue: | Contingent income autocallable securities
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Underlying index: | S&P GSCI Crude Oil Index Excess Return
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Amount: | $3,246,000
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Maturity: | Aug. 8, 2016
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Coupon: | Each quarter, notes pay contingent coupon at annualized rate of 16% if index closes at or above downside threshold level on determination date for that quarter
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Price: | Par
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Payout at maturity: | If final index level is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final index level is less than initial index level
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Call: | Automatically at par plus contingent coupon if index closes at or above initial level on any determination date other than final one
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Initial index level: | 227.4196
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Downside threshold: | 181.93568, 80% of initial level
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Pricing date: | July 31
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Settlement date: | Aug. 5
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Agent: | J.P. Morgan Securities LLC
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Distribution: | Morgan Stanley Wealth Management
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Fees: | 1.75%
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Cusip: | 48125UTZ5
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