Published on 12/30/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.2 million autocallable contingent interest notes tied to indexes
By Susanna Moon
Chicago, Dec. 30 – JPMorgan Chase & Co. priced $2.2 million of 0% autocallable contingent interest notes due Jan. 3, 2017 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7.75% if each index closes at or above its interest 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 and final dates.
The payout at maturity will be par unless either index finishes below its 70% barrier 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 S&P 500
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| Amount: | $2,203,000
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| Maturity: | Jan. 3, 2017
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| Coupon: | 7.75% annualized, payable quarterly if each underlying index closes at or above interest 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 first and final dates
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| Initial levels: | 2,064.29 for S&P, 1,152.817 for Russell
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| Barrier levels: | 1,445.003 for S&P, 806.9719 for Russell; 70% of initial levels
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| Pricing date: | Dec. 23
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| Settlement date: | Dec. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48128GEM8
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