Published on 7/30/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.01 million autocallable notes tied to S&P, Euro Stoxx
By Susanna Moon
Chicago, July 30 – JPMorgan Chase & Co. priced $1.01 million of autocallable notes due Aug. 2, 2018 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 12.5% if each component closes at or above its call level on any annual call date. The call level will be 100% of the initial level on the first call valuation date, 95% of the initial level on the second call valuation date and 90% of the initial level on the final call valuation date.
If the notes have not been called, the payout at maturity will be par unless either index finishes below its 75% trigger level, in which case investors will be fully exposed to any losses of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable notes
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| Underlying indexes: | S&P 500, Euro Stoxx 50
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| Amount: | $1.01 million
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| Maturity: | Aug. 2, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case par plus return of worst performing index, with full exposure to losses
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| Call: | At par plus 12.5% per year if each index closes at or above its call level on Aug. 4, 2016, July 28, 2017 and July 30, 2018
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| Trigger levels: | 75% of initial levels
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| Call levels: | 100% of the initial level on the first call valuation date, 95% of the initial level on the second call valuation date and 90% of the initial level on the final call valuation date
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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: | 2.25%
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| Cusip: | 48125UZY1
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