Published on 12/10/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.44 million of autocallables tied to Russell, Stoxx
By Wendy Van Sickle
Columbus, Ohio, Dec. 10 – JPMorgan Chase & Co. priced $1.44 million of 0% autocallable notes due Nov. 29, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will be automatically called at par plus 13% if each index’s closing level is greater than or equal to its initial level on Dec. 1, 2016, at par plus 26% if each index’s closing level is greater than or equal to 95% of its initial level on Nov. 24, 2017 or at par plus 39% if each index’s closing level is greater than or equal to 90% of its initial level on Nov. 26, 2018.
If the notes have not been called and the final level of each index is greater than or equal to its trigger value, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the lesser-performing index.
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: | Russell 2000 and Euro Stoxx 50
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| Amount: | $1,435,000
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| Maturity: | Nov. 29, 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 full exposure to any losses of worse performing index
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| Call: | Par plus 13% if each index’s closing level is greater than or equal to its initial level on Dec. 1, 2016; par plus 26% if each index’s closing level is greater than or equal to 95% of its initial level on Nov. 24, 2017; par plus 39% if each index’s closing level is greater than or equal to 90% of its initial level on Nov. 26, 2018.
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| Initial levels: | 1,188.814 for Russell and 3,409.60 for Stoxx
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| Trigger levels: | 832.1698 for Russell and 2,386.72 for Stoxx; 70% of initial levels
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| Pricing date: | Nov. 24
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| Settlement date: | Nov. 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.25%
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| Cusip: | 48128GEB2
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