Published on 12/11/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.32 million contingent interest autocallables linked to CSX, BofA, Southwest
By Angela McDaniels
Tacoma, Wash., Dec. 11 – JPMorgan Chase & Co. priced $2.32 million of autocallable contingent interest notes due Nov. 29, 2018 linked to the least performing of the common stocks of CSX Corp., Bank of America Corp. and Southwest Airlines Co., according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at an annual rate of 10.4% if each stock closes at or above its interest barrier, 60% of its initial share price, on the review date for that month.
The notes will be automatically called at par plus the contingent coupon if each stock closes at or above its initial share price on any autocall review date, which occur quarterly from Feb. 24, 2016 to Aug. 24, 2018.
If the notes have not been called, the payout at maturity will be par plus the final coupon, if any, unless any stock finishes below its trigger value, 50% of its initial share price, in which case investors will lose 1% for every 1% that the least-performing stock declines below its initial share price.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Stocks: | CSX Corp. (Symbol: CSX), Bank of America Corp. (Symbol: BAC) and Southwest Airlines Co. (Symbol: LUV)
|
| Amount: | $2,323,000
|
| Maturity: | Nov. 29, 2018
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| Coupon: | Notes pay monthly contingent coupon at annual rate of 10.4% if each stock closes at or above interest barrier on review date for that month
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon, if any, unless any stock finishes below trigger value, in which case full exposure to decline of least-performing stock
|
| Call: | Automatically at par plus contingent coupon if each stock closes at or above initial share price on Feb. 24, 2016, May 24, 2016, Aug. 24, 2016, Nov. 25, 2016, Feb. 24, 2017, May 24, 2017, Aug. 24, 2017, Nov. 24, 2017, Feb. 26, 2018, May 24, 2018 or Aug. 24, 2018
|
| Initial share prices: | $29.03 for CSX, $17.47 for Bank of America and $46.23 for Southwest Airlines
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| Interest barriers: | $17.418 for CSX, $10.482 for Bank of America and $27.738 for Southwest Airlines; 60% of initial share prices
|
| Trigger values: | $14.515 for CSX, $8.735 for Bank of America and $23.115 for Southwest Airlines; 50% of initial share prices
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| Pricing date: | Nov. 24
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| Settlement date: | Nov. 30
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2%
|
| Cusip: | 48128GCQ1
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