Published on 12/10/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.02 million of contingent interest autocallables tied to S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Dec. 10 – JPMorgan Chase & Co. priced $3.02 million of autocallable contingent interest notes due Dec. 1, 2016 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of at an annual rate of 7.75% if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any review date other than the final review date.
The payout at maturity will be par unless either index finishes below its 70% 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.
|
| Issue: | Autocallable contingent interest notes
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| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $3,015,000
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| Maturity: | Dec. 1, 2016
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| Coupon: | Notes pay quarterly contingent coupon at annual rate of 7.75% if each index closes at or above barrier level on review date for that quarter
|
| Price: | Par of $1,000
|
| Payout at maturity: | Par unless either index closes below trigger value during life of notes and either index finishes below initial level, in which case full exposure to decline of worst-performing index
|
| Call: | Automatically at par if each index closes at or above initial level on any quarterly review date other than the final review date
|
| Initial index levels: | 2,089.14 for S&P 500, 1,188.814 for Russell 2000
|
| Trigger/barrier values: | 1,462.398 for S&P 500, 832.1698 for Russell 2000; 70% of initial levels
|
| Pricing date: | Nov. 24
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| Settlement date: | Nov. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.35874%
|
| Cusip: | 48128GBP4
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