Published on 11/30/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $12.06 million trigger phoenix autocallables on Russell 2000, S&P 500
By Wendy Van Sickle
Columbus, Ohio, Nov. 30 – JPMorgan Chase & Co. priced $12,064,950 of trigger phoenix autocallable optimization securities due Nov. 28, 2025 tied 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.
Each quarter, the notes will pay a contingent coupon of 7% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter.
After one year, the notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and each index finishes at or above its trigger level, 50% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. Otherwise, investors will be fully exposed to the decline of the lesser-performing index.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Trigger phoenix autocallable optimization securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $12,064,950
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| Maturity: | Nov. 28, 2025
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| Coupon: | 7% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier level, par plus final contingent coupon; otherwise, full exposure to loss of worse performing index
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| Call: | At par if each index closes at or above initial level on any quarterly observation date after one year
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| Initial levels: | 1,198.015 for Russell 2000 and 2,088.87 for S&P 500
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| Barrier level: | 838.611 for Russell, 1,462.21 for S&P; 70% of initial levels
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| Trigger level: | 599.008 for Russell, 1,044.44 for S&P; 50% of initial levels
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| Pricing date: | Nov. 25
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| Settlement date: | Nov. 30
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 48127Y268
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