Published on 9/24/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.03 million 6% autocallable yield notes on EM fund, two indexes
By Jennifer Chiou
New York, Sept. 24 – JPMorgan Chase & Co. priced $1,025,000 of 6% autocallable yield notes due Dec. 24, 2015 linked to the Russell 2000 index, Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called at par plus accrued interest if each component closes at or above its initial level on any quarterly call date.
A trigger event will occur if any component closes below its initial level by more than the 35% buffer amount on any trading day during the life of the notes.
The payout at maturity will be par unless a trigger event occurs and the return of the worst-performing component is negative, in which case investors will share in losses of the worst-performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable yield notes
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| Underlying components: | Russell 2000 index, Euro Stoxx 50 index and iShares MSCI Emerging Markets ETF
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| Amount: | $1,025,000
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| Maturity: | Dec. 24, 2015
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| Coupon: | 6%, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless any component ever falls by more than buffer during life of notes and return of worst-performing component is negative, in which case full exposure to losses of worst-performing component
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| Call: | At par plus accrued interest if each component closes at or above its initial level on any of the quarterly call dates
|
| Initial levels: | 1,146.92 for Russell, 3,273.25 for Euro Stoxx, $43.46 for EM fund
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| Buffer amounts: | 401.422 for Russell, 1,145.6375 for Euro Stoxx, $15.211 for EM fund; 35% of initial levels
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| Pricing date: | Sept. 19
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| Settlement date: | Sept. 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.35%
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| Cusip: | 48127DZS0
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