Published on 2/5/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $6.5 million contingent income autocallables tied to three indexes
By Toni Weeks
San Luis Obispo, Calif., Feb. 5 - JPMorgan Chase & Co. priced $6.5 million of contingent income autocallable securities due Feb. 5, 2019 linked to the worst performing of the Russell 2000 index, Euro Stoxx 50 index and Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 2.125% if each index closes at or above its 75% coupon barrier level on a determination date for that quarter.
The notes will be redeemed at par plus the contingent coupon if each index closes at or above its respective initial level on any quarterly determination date other than the last date.
If the notes are not called, the payout at maturity will be par plus the final contingent coupon unless any index finishes below its 60% downside threshold level, in which case investors will be fully exposed to the decline of the worst-performing index.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC will handle distribution.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx 50, Nikkei 225
|
| Amount: | $6,502,260
|
| Maturity: | Feb. 5, 2019
|
| Coupon: | 2.125% (8.5% per year), payable quarterly if each index closes at or above its barrier level on the determination date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If each index finishes at or above its 60% downside threshold level, par plus the final contingent coupon; otherwise, full exposure to losses of worst-performing index
|
| Call: | At par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date other than final date
|
| Initial index levels: | 1,130.88 for Russell, 3,013.96 for Euro Stoxx, 14,914.53 for Nikkei
|
| Barrier levels: | 848.16 for Russell, 2,260.47 for Euro Stoxx, 11,185.8975 for Nikkei; 75% of initial levels
|
| Downside thresholds: | 678.528 for Russell, 1,808.376 for Euro Stoxx, 8,948.718 for Nikkei; 60% of initial levels
|
| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as dealer
|
| Fees: | 3%
|
| Cusip: | 48127A229
|
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