Published on 4/16/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.45 million contingent income autocallables linked to indexes
By Jennifer Chiou
New York, April 16 - JPMorgan Chase & Co. priced $1,454,940 of contingent income autocallable securities due April 16, 2019 linked to the worst performing of the Russell 2000 index, the Euro Stoxx Banks index and the Topix index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above its coupon barrier level, 75% of its initial index level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 10%.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its respective initial level on any quarterly redemption determination date.
If any index finishes below its downside threshold level, 55% of its initial level, investors will be fully exposed to the decline of the worst-performing index. Otherwise, the payout at maturity will be par plus the final contingent coupon, if any.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney, LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000, Euro Stoxx Banks and Topix
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| Amount: | $1,454,940
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| Maturity: | April 16, 2019
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| Coupon: | 10% per year, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If any index finishes below downside threshold level, full exposure to decline of worst-performing index; otherwise, par plus final contingent coupon, if any
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly redemption determination date
|
| Initial index levels: | 1,111.4385 for Russell 2000, 152.79 for Euro Stoxx Banks and 1,134.09 for Topix
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| Coupon barriers: | 833.57888 for Russell 2000, 114.5925 for Euro Stoxx Banks and 850.5675 for Topix; 75% of initial levels
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| Downside thresholds: | 611.29118 for Russell 2000, 84.0345 for Euro Stoxx Banks and 623.7495 for Topix; 55% of initial levels
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| Pricing date: | April 11
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| Settlement date: | April 16
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney, LLC
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| Fees: | 3%
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| Cusip: | 48127F889
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