Published on 4/2/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5.2 million contingent income autocallables tied to three indexes
By Marisa Wong
Madison, Wis., April 2 – JPMorgan Chase & Co. priced $5.2 million of contingent income autocallable securities due April 5, 2022 linked to the worst performing of the Russell 2000 index, the Euro Stoxx 50 index and the Nikkei 225 index, according to an FWP with the Securities and Exchange Commission.
The notes will pay a contingent quarterly payment of 2.25% if each index closes at or above the 75% coupon barrier level on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above the initial level on any determination date other than the final date.
The payout at maturity will be par plus the final coupon unless any index finishes below the 60% downside threshold level, in which case investors will be fully exposed to any losses of the worst-performing index.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000, Euro Stoxx 50 and Nikkei 225
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| Amount: | $5.2 million
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| Maturity: | April 5, 2022
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| Coupon: | 9% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus final coupon, if any, unless any index finishes below downside threshold level, in which case exposure to decline of worst-performing index
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| Call: | At par plus contingent payment if each index closes at or above initial level on any quarterly determination date other than final date
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| Initial levels: | 1,252.772 for Russell, 3,697.38 for Euro Stoxx, 19,206.99 for Nikkei
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| Coupon barrier levels: | 939.579 for Russell, 2,773.035 for Euro Stoxx, 14,405.2425 for Nikkei; 75% of initial levels
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| Downside threshold levels: | 751.6632 for Russell, 2,218.428 for Euro Stoxx, 11,524.194 for Nikkei; 60% of initial levels
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| Pricing date: | March 31
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| Settlement date: | April 7
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 3.5%
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| Cusip: | 48127T616
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