Published on 11/25/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $610,000 dual directional contingent buffered notes linked to Euro Stoxx 50
By Angela McDaniels
Tacoma, Wash., Nov. 25 – JPMorgan Chase & Co. priced $610,000 of 0% capped dual directional contingent buffered equity notes due Nov. 25, 2020 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the initial index level, the payout at maturity will be par plus the index return, subject to a maximum payout of $2,200 per $1,000 principal amount of notes.
If the final index level is less than the initial level by up to 20%, the payout will be par plus the absolute value of the index return.
If the final index level is less than the initial level by more than 20% but by no more than 45%, the payout will be par.
If the final index level is less than the initial index level by more than 45%, investors will lose 1% for every 1% that the index’s final level is less than its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped dual directional contingent buffered equity notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $610,000
|
| Maturity: | Nov. 25, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than initial index level, par plus index return, subject to maximum payout of $2,200 per $1,000 principal amount of notes; if final index level is less than or equal to initial level but greater than or equal to absolute return threshold, par plus absolute value of index return; if final index level is less than absolute return threshold but greater than or equal to trigger value, par; if final index level is less than trigger value, full exposure to index’s decline
|
| Initial level: | 3,452.45
|
| Absolute return threshold: 2,761.96, 80% of initial level
|
| Trigger value: | 1,898.8475, 55% of initial level
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.225%
|
| Cusip: | 48128GDU1
|
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