Published on 2/10/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.63 million contingent interest callable notes on S&P 500, Russell
By Susanna Moon
Chicago, Feb. 10 – JPMorgan Chase & Co. priced $2.63 million of callable contingent interest notes due Feb. 15, 2017 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filed with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10.75% if each index closes at or above its coupon barrier level, 70% of its initial price, on the review date for that quarter.
The notes will be callable at par on any review date than the first and final dates.
The payout at maturity will be par plus the contingent coupon unless either index closes below its 70% trigger level on any day during the life of the notes and finishes below its initial 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: | Callable contingent interest notes
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| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $2,632,000
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| Maturity: | Feb. 15, 2017
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| Coupon: | 10.75%, payable quarterly if each index 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 plus the contingent coupon unless either index finishes below initial level and closes below trigger level during life of notes, in which case investors will be fully exposed to any losses of the worse performing index
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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: | 1,853.44 for S&P, 969.338 for Russell
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| Trigger levels: | 1,297.408 for S&P, 678.5366 for Russell; 70% of initial levels
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| Pricing date: | Feb. 8
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| Settlement date: | Feb. 11
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 48128GLZ1
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