Published on 3/27/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.07 million callable range accrual notes on S&P 500, Euro Stoxx 50
By Toni Weeks
San Luis Obispo, Calif., March 27 - JPMorgan Chase & Co. priced $1.07 million of callable range accrual notes due March 28, 2029 linked to six-month Libor, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 8% for each day that each index closes at or above its 65% minimum index level and six-month Libor is 6.5% or less. Interest is payable quarterly.
The payout at maturity will be par if both indexes finish at or above their respective barrier levels, 55% of their initial levels.
Otherwise, investors will be fully exposed to the decline of the worst-performing index.
The notes are callable at par on any quarterly call date beginning March 28, 2015.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable range accrual notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $1,068,000
|
| Maturity: | March 28, 2029
|
| Coupon: | 8% for each day that six-month Libor is 6.5% or less and each index is at or above minimum index level
|
| Price: | Par
|
| Payout at maturity: | Par if both indexes finish at or above their respective barrier levels; otherwise, full exposure to decline of worst-performing index
|
| Call option: | At par on any quarterly date beginning March 28, 2015
|
| Initial levels: | 1,865.62 for S&P 500, 3,096.64 for Euro Stoxx 50
|
| Minimum index levels: | 65% of initial level
|
| Barrier levels: | 1,026.091 for S&P 500, 1,703.152 for Euro Stoxx 50, 55% of initial levels
|
| Pricing date: | March 25
|
| Settlement date: | March 28
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.25%
|
| Cusip: | 48126N5S2
|
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