Published on 1/7/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.18 million contingent income callable notes linked to indexes
By Tali Rackner
Norfolk, Va., Jan. 7 – JPMorgan Chase & Co. priced $3.18 million of contingent income callable securities due Jan. 5, 2018 linked to the worst performing of the Euro Stoxx 50 index, the S&P 500 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 13.15% if each index closes at or above its downside threshold level, 75% of its initial index level, on the determination date for that quarter.
The notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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| Amount: | $3,167,000
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| Maturity: | Jan. 5, 2018
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| Coupon: | 13.15% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
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| Call option: | At par on any quarterly determination date other than final one
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| Initial index levels: | 3,164.76 for Euro Stoxx 50 (not equal to closing level on pricing date), 2,043.94 for S&P 500 and 1,135.889 for Russell 2000
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| Downside threshold: | 2,373.57 for Euro Stoxx 50, 1,532.955 for S&P 500 and 851.91675 for Russell 2000; 75% of initial index levels
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| Pricing date: | Dec. 31
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| Settlement date: | Jan. 6
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2%
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| Cusip: | 48128GHS2
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