Published on 4/2/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5.7 million contingent income autocallables linked to indexes
By Angela McDaniels
Tacoma, Wash., April 2 - JPMorgan Chase & Co. priced $5.7 million of contingent income autocallable securities due April 5, 2017 linked to the worst performing of the S&P 500 index, the Euro Stoxx Banks index and the FTSE 100 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above its coupon barrier level, 75% of its initial index level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 10%.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its respective initial level on any quarterly redemption determination date.
If any index finishes below its downside threshold level, 65% of its initial level, investors will be fully exposed to the decline of the worst-performing index. Otherwise, the payout at maturity will be par plus the final contingent coupon, if any.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney, LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | S&P 500, Euro Stoxx Banks and FTSE 100
|
| Amount: | $5,697,960
|
| Maturity: | April 5, 2017
|
| Coupon: | 10% per year, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If any index finishes below downside threshold level, full exposure to decline of worst-performing index; otherwise, par plus final contingent coupon, if any
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly redemption determination date
|
| Initial index levels: | 1,872.34 for S&P 500, 155.26 for Euro Stoxx Banks and 6,598.37 for FTSE 100
|
| Coupon barriers: | 1,404.255 for S&P 500, 116.445 for Euro Stoxx Banks and 4,948.7775 for FTSE 100; 75% of initial levels
|
| Downside thresholds: | 1,217.021 for S&P 500, 100.919 for Euro Stoxx Banks and 4,288.9405 for FTSE 100; 65% of initial levels
|
| Pricing date: | March 31
|
| Settlement date: | April 3
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney, LLC
|
| Fees: | 2.25%
|
| Cusip: | 48127E411
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