Published on 11/6/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.42 million dual directional review notes on Russell, iShares MSCI EAFE
By Wendy Van Sickle
Columbus, Ohio, Nov. 6 – JPMorgan Chase & Co. priced $1,423,000 of 0% dual directional review notes due May 9, 2017 linked to the lesser performing of the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 9% if each underlier closes at or above its initial level on May 4, 2016, Nov. 4, 2016 or May 4, 2017. For each underlier, the initial level is its closing level on Nov. 3.
If the notes are not called and the return of each index is negative 20% or greater, the payout at maturity will be par plus the absolute value of the return of the lesser-performing index. Otherwise, investors will lose 1.25% for every 1% that the lesser-performing index declines beyond 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Dual directional review notes
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| Underliers: | Russell 2000 and iShares MSCI EAFE exchange-traded fund
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| Amount: | $1,423,000
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| Maturity: | May 9, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If notes are not called and return of each index is negative 20% or greater, par plus absolute value of return of lesser-performing index; otherwise, 1.25% loss for every 1% that lesser-performing index declines beyond 20%
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| Call: | Automatically at par plus 9% per year if each index closes at or above initial level on May 4, 2016, Nov. 4, 2016 or May 4, 2017
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| Initial levels: | 1,191.578 for Russell 2000 and $61.67 for iShares MSCI EAFE ETF, closing levels on Nov. 3
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| Pricing date: | Nov. 4
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| Settlement date: | Nov. 9
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.15%
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| Cusip: | 48128GCK4
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