Published on 2/5/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.75 million contingent interest callable notes tied to indexes, fund
By Susanna Moon
Chicago, Feb. 5 – JPMorgan Chase & Co. priced $2.75 million of callable contingent interest notes due Aug. 9, 2019 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, 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 11% if each component closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
The notes are callable at par on any review date other than the first and final review dates.
The payout at maturity will be par unless any component finishes below its 55% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Callable contingent interest notes
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| Underlyings: | S&P 500, Russell 2000 and Shares MSCI EAFE ETF
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| Amount: | $2,751,000
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| Maturity: | Aug. 9, 2019
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| Coupon: | 11%, payable quarterly if each component closes at or above barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any component ends below trigger level, in which case full exposure to any losses of worst performing component
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| Call option: | At par on any quarterly review date other than the first and final review dates
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| Initial levels: | 1,903.03 for S&P, 1,008.835 for Russell, $54.13 for EAFE fund
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| Coupon barriers: | 1,332.121 for S&P, 706.1845 for Russell, $37.891 for EAFE fund; 70% of initial levels
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| Trigger levels: | 1,046.6665 for S&P, 554.85925 for Russell, $29.7715 for EAFE fund; 55% of initial levels
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 48128GLH1
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