Published on 2/22/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.19 million three-year autocallables on S&P, Russell
By Susanna Moon
Chicago, Feb. 22 – JPMorgan Chase & Co. priced $1.19 million of 0% autocallable notes due Feb. 22, 2019 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 12.4% if each index closes at or above the call level on any annual review date. The call level will be equal to the initial level on the first call valuation date, stepping down to 95% of the initial level for the second review date and to 90% of the initial level on the final review date.
The payout at maturity will be par unless either index finishes below the 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.
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| Issue: | Autocallable notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1,185,000
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| Maturity: | Feb. 22, 2019
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par unless either index finishes below trigger level, in which case full exposure to any losses of the worse performing index
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| Call: | At par plus 12.4% annualized if each index closes at or above call level on Feb. 28, 2017, Feb. 20, 2018 or Feb. 19, 2019
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| Initial levels: | 1,917.83 for S&P, 1,004.706 for Russell
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| Trigger levels: | 1,342.481 for S&P, 703.2942 for Russell; 70% of initial levels
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| Call levels: | 100% of initial level on first call valuation date, stepping down to 95% of the initial level for the second review date and to 90% of the initial level on the final review date
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| Pricing date: | Feb. 18
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| Settlement date: | Feb. 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.25%
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| Cusip: | 48128GNZ9
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