Published on 2/23/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.98 million contingent income callable notes linked to indexes
By Angela McDaniels
Tacoma, Wash., Feb. 23 – JPMorgan Chase & Co. priced $4.98 million of contingent income callable securities due Feb. 23, 2018 linked to the worst performing of the Euro Stoxx 50 index, 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 12.25% if each index closes at or above its downside threshold level, 65% of its initial index level, on the determination date for that quarter.
The notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $4.98 million
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| Maturity: | Feb. 23, 2018
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| Coupon: | 12.25% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
|
| Call option: | At par on any quarterly determination date other than final one
|
| Initial index levels: | 2,933.91 for Euro Stoxx 50 (closing level on Feb. 22), 1,917.78 for S&P 500 and 1,010.011 for Russell 2000
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| Downside threshold: | 1,907.0415 for Euro Stoxx 50, 1,246.557 for S&P 500 and 656.50715 for Russell 2000; 65% of initial index levels
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| Pricing date: | Feb. 19
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| Settlement date: | Feb. 24
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2%
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| Cusip: | 48128GPA2
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