Published on 8/18/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $12.39 million autocallable contingent interest notes on Euro Stoxx, Russell
By Susanna Moon
Chicago, Aug. 18 – JPMorgan Chase & Co. priced $12.39 million of autocallable contingent interest notes due Aug. 19, 2025 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.6% if each index closes at or above its coupon barrier level, 70% of its initial level, on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the first, second, third and final dates.
The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying indexes: | Russell 2000 and Euro Stoxx 50
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| Amount: | $12,386,000
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| Maturity: | Aug. 19, 2025
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| Coupon: | 8.6% annualized, payable quarterly if each underlying index closes at or above coupon barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless either index finishes below trigger level, in which case full exposure to any losses of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than the first, second, third and final dates
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| Initial levels: | 1,212.688 for Russell and 3,491.03 for Stoxx
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| Coupon barriers: | 848.8816 for Russell and 2,443.721 for Stoxx; 70% of initial levels
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| Trigger levels: | 606.344 for Russell and 1,745.515 for Stoxx; 50% of initial levels
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| Pricing date: | Aug. 14
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| Settlement date: | Aug. 19
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.44%
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| Cusip: | 48125UH70
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