Published on 7/29/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.55 million contingent income autocallables linked to indexes
By Susanna Moon
Chicago, July 29 – JPMorgan Chase & Co. priced $1.55 million of contingent income autocallable securities due July 29, 2021linked 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 2.1875% if each index closes at or above its coupon barrier level, 75% of its initial index level, on a determination date for that quarter.
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 trigger level, 60% of its initial level, investors will be fully exposed to any losses of the worst performing index.
Otherwise, the payout at maturity will be par plus the final contingent coupon.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney, LLC.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000, Euro Stoxx 50 and Nikkei 225
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| Amount: | $1.55 million
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| Maturity: | July 29, 2021
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| Coupon: | 2.1875% per quarter if each index closes at or above coupon barrier level on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If any index finishes below trigger level, full exposure to losses of worst performing index; otherwise, par plus final contingent coupon
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly redemption determination date
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| Initial levels: | 1,144.72 for Russell, 3,174.99 for Euro Stoxx and 15,457.87 for Nikkei
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| Coupon barriers: | 858.54 for Russell, 2,381.24 for Euro Stoxx and 11,593.40 for Nikkei; 75% of initial levels
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| Trigger levels: | 668.83 for Russell, 1,904.99 for Euro Stoxx and 9,274.722 for Nikkei; 60% of initial levels
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| Pricing date: | July 25
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| Settlement date: | July 30
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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: | 3%
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| Cusip: | 481246684
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