Published on 6/15/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.97 million callable contingent interest notes on ETF, two indexes
By Toni Weeks
San Luis Obispo, Calif., June 15 – JPMorgan Chase & Co. priced $2.97 million of callable contingent interest notes due June 19, 2017 linked to the lesser performing of the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, 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 9.45% if each component closes at or above its interest barrier level, 70% of its initial level, on the review date for that quarter.
The payout at maturity will be par unless any component closes below its trigger level, 55% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing component.
The notes may be called at par on any contingent interest payment date.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest notes
|
| Underlying components: | Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets ETF
|
| Amount: | $2.97 million
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| Maturity: | June 19, 2017
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| Coupon: | Notes pay quarterly contingent coupon at annual rate of 9.45% if each underlying component closes at or above interest barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any component finishes below trigger level, in which case full exposure to decline of lesser-performing component
|
| Call option: | At par plus contingent coupon, if any, on any quarterly review date other than final one
|
| Initial levels: | 3,551.91 for Euro Stoxx, 1,268.92 for Russell 2000, $40.24 for ETF
|
| Interest barrier levels: | 2,486.337 for Euro Stoxx, 888.244 for Russell and $28.168 for ETF; 70% of initial levels
|
| Trigger levels: | 1,953.5505 for Euro Stoxx, 697.906 for Russell and $22.132 for ETF; 55% of initial levels
|
| Pricing date: | June 11
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| Settlement date: | June 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.45328%
|
| Cusip: | 48125UXD9
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