Published on 10/24/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.53 million autocallable contingent interest notes on S&P, Russell
By Angela McDaniels
Tacoma, Wash., Oct. 24 – JPMorgan Chase & Co. priced $1.53 million of autocallable contingent interest notes due Oct. 26, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 7.1% if each index closes at or above its barrier level, 60% of its initial level, on the review date for that quarter.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the first, second, third and final review dates.
If the notes have not been called, the payout at maturity will be par unless either index finishes below its barrier level, in which case investors will be fully exposed to the decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Autocallable contingent interest notes
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $1,534,000
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Maturity: | Oct. 26, 2017
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Coupon: | Notes pay quarterly contingent coupon at annual rate of 9.1% if each underlying index closes at or above barrier level on review date for that quarter
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Price: | Par
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Payout at maturity: | Par plus final coupon unless final level of either index is less than trigger level, in which case full exposure to decline of lesser-performing underlying index
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Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on Oct. 22, 2015, Jan. 22, 2016, April 22, 2016, July 22, 2016, Oct. 24, 2016, Jan. 23, 2017, April 24, 2017 or July 24, 2017
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Initial levels: | 1,927.11 for S&P 500 and 1,096.872 for Russell 2000
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Barrier levels: | 1,156.266 for S&P 500 and 658.1232 for Russell 2000; 60% of initial levels
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Pricing date: | Oct. 22
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Settlement date: | Oct. 27
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.325929%
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Cusip: | 48127DN53
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