Published on 8/6/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2 million contingent coupon callable yield notes on indexes, fund
By Susanna Moon
Chicago, Aug. 6 – JPMorgan Chase & Co. priced $2 million of contingent coupon callable yield notes due Aug. 4, 2017 linked to the Russell 2000 index, S&P 500 index and iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.55% if each component closes at or above its barrier level, 65% of the initial level, on an observation date for that quarter.
The notes will be callable at par plus any contingent coupon on any quarterly interest payment date, other than the final date.
The payout at maturity will be par unless any component finishes at or below its 65% knock-in level, in which case investors will be fully exposed to the decline of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent coupon callable yield notes
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| Underlying components: | Russell 2000, S&P 500 and iShares MSCI EAFE ETF
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| Amount: | $2,008,000
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| Maturity: | Aug. 4, 2017
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| Coupon: | 7.55% annualized per quarter that each component closes at or above its barrier level on observation date for that period
|
| Price: | Par
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| Payout at maturity: | If any underlying component falls to or below barrier level, par plus return of worst performing underlying component; otherwise, par
|
| Call option: | At par plus coupon, if any, on any interest payment date, other than the final date
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| Initial levels: | 724.65705 for Russell, 1,251.3475 for S&P and $724.65705 for MSCI EAFE; 65% of initial levels
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| Barrier level: | 65% of initial levels
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| Pricing date: | Aug. 1
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| Settlement date: | Aug. 6
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48127DUY2
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