Published on 1/29/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $6.68 million autocallable contingent interest notes tied to index, fund
By Toni Weeks
San Luis Obispo, Calif., Jan. 29 – JPMorgan Chase & Co. priced $6.68 million of autocallable contingent interest notes due Feb. 1, 2018 linked to the S&P 500 index and the Vanguard Total Stock Market exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each underlying component closes at or above the 80% barrier level on a quarterly review date, the notes will pay a coupon at an annualized rate of 7.25% for that interest period.
If each component closes at or above its initial level on any review date other than the first, second, third or final review date, the notes will be called at par plus the coupon.
If the notes are not called and each component finishes at or above the 70% trigger level, the payout at maturity will be par plus the contingent interest payment, if any.
If either underlying component finishes below the trigger level, the payout will be par plus the return of the worst-performing component, with full exposure to losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
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| Underlyings: | S&P 500 index and Vanguard Total Stock Market ETF
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| Amount: | $6.68 million
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| Maturity: | Feb. 1, 2018
|
| Coupon: | 7.25% per year, payable quarterly if each component closes at or above its barrier level on the observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each component finishes at or above trigger level, par plus coupon, if any; otherwise, par plus return of worst-performing component, with full exposure to losses
|
| Call: | At par plus the coupon if each component closes at or above its initial level on any review date, other than final review date, beginning Jan. 27, 2016
|
| Initial levels: | 2,029.55 for S&P, $104.95 for fund
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| Coupon barriers: | 1,623.64 for S&P, $83.96 for fund; 80% of initial levels
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| Trigger levels: | 1,420.685 for S&P, $73.465 for fund, 70% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Jan. 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.4%
|
| Cusip: | 48127D6Y9
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