Published on 12/17/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5.28 million contingent income autocallables tied to three indexes
By Marisa Wong
Madison, Wis., Dec. 17 – JPMorgan Chase & Co. priced $5.28 million of contingent income autocallable securities due Dec. 21, 2021 linked to the worst performing of the Russell 2000 index, the Euro Stoxx 50 index and the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly payment of 2.25% if each index closes at or above its 75% barrier level on the observation date for that quarter.
The notes will be redeemed at par of $10 plus the contingent payment if each index closes at or above the initial level on any of determination date other than the final determination date.
The payout at maturity will be par plus the final coupon unless any index finishes below its 55% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000, Euro Stoxx 50, Nikkei 225
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| Amount: | $5,282,550
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| Maturity: | Dec. 21, 2021
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| Coupon: | 9% per year, payable quarterly if each index closes at or above its barrier level on the determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus the final contingent coupon unless any index finishes below its downside threshold level, in which case full exposure to decline of worst-performing index
|
| Call: | At par plus contingent coupon if each index closes at or above its initial level on any determination date other than the final date
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| Initial levels: | 1,140.295 for Russell, 2,982.90 for Euro Stoxx, 17,099.40, for Nikkei
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| Coupon barrier levels: | 855.22125 for Russell, 2,237.175 for Euro Stoxx, 12,824.55 for Nikkei; 75% of initial levels
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| Downside thresholds: | 627.16225 for Russell, 1,640.595 for Euro Stoxx, 9,404.67 for Nikkei; 55% of initial levels
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| Pricing date: | Dec. 15
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| Settlement date: | Dec. 18
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| Agent: | J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution
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| Fees: | 3.5%
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| Cusip: | 48127P515
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