Published on 12/11/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.84 million contingent interest autocallables linked to Euro Stoxx, Russell
By Angela McDaniels
Tacoma, Wash., Dec. 11 – JPMorgan Chase & Co. priced $4.84 million of autocallable contingent interest notes due Dec. 12, 2025 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8.16% if each index closes at or above its interest barrier level, 70% of its initial level, on the review date for that quarter.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the final review date.
If the notes have not been called, the payout at maturity will be par plus the final coupon, if any, unless either index finishes below its trigger value, 50% of its initial level, in which case 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.
|
| Issue: | Autocallable contingent interest notes
|
| Indexes: | Euro Stoxx 50 and Russell 2000
|
| Amount: | $4,835,000
|
| Maturity: | Dec. 12, 2025
|
| Coupon: | Notes pay quarterly contingent coupon at annual rate of 8.16% if each index closes at or above interest barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon, if any, unless either index finishes below trigger value, in which case full exposure to decline of lesser-performing index
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final one
|
| Initial levels: | 3,277.21 for Euro Stoxx 50 and 1,145.872 for Russell 2000
|
| Interest barriers: | 2,294.047 for Euro Stoxx 50 and for 802.1104 Russell 2000; 70% of initial levels
|
| Trigger values: | 1,638.605 for Euro Stoxx 50 and 572.936 for Russell 2000; 50% of initial levels
|
| Pricing date: | Dec. 9
|
| Settlement date: | Dec. 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.85%
|
| Cusip: | 48128GFG0
|
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