Published on 2/28/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $7.69 million trigger autocallable optimization notes linked to index basket
By Angela McDaniels
Tacoma, Wash., Feb. 28 - JPMorgan Chase & Co. priced $7.69 million of 0% trigger autocallable optimization securities due Feb. 29, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket indexes are the Euro Stoxx 50 index with a 40% weight, the S&P 500 index with a 20% weight, the MSCI Emerging Markets index with a 20% weight and the Russell 2000 index with a 20% weight.
The notes will be called at par of $10 plus 7% per year if the basket closes at or above the initial basket level on any quarterly observation date.
If the notes are not called and the basket finishes at or above the trigger level, 80% of the initial basket level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final basket level is less than the initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the underwriters.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Trigger autocallable optimization securities
|
| Underlying indexes: | Euro Stoxx 50 (40% weight), S&P 500 (20% weight), MSCI Emerging Markets (20% weight) and Russell 2000 (20% weight)
|
| Amount: | $7,685,530
|
| Maturity: | Feb. 29, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par if basket finishes at or above trigger level; otherwise, full exposure to basket's decline
|
| Call: | Automatically at par plus 7% per year if basket closes at or above initial level on any quarterly observation date
|
| Initial index levels: | 3,148.19 for Euro Stoxx 50, 956.26 for MSCI EM, 1,181.72 for Russell 2000, 1,845.16 for S&P 500
|
| Trigger level: | 80% of initial basket level
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| Pricing date: | Feb. 26
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| Settlement date: | Feb. 28
|
| Underwriters: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48127E619
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