Published on 2/25/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.14 million contingent interest callable notes on S&P 500, Russell
By Susanna Moon
Chicago, Feb. 25 – JPMorgan Chase & Co. priced $1.14 million of callable contingent interest notes due Aug. 30, 2018 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 monthly coupon at an annual rate of 6.8% if each index closes at or above its coupon barrier level, 70% of its initial price, on the review date for that month.
The notes will be callable at par on any semiannual review date.
The payout at maturity will be par plus the contingent coupon unless either index finishes below its 85% 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: | Callable contingent interest notes
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| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $1,142,000
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| Maturity: | Aug. 30, 2018
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| Coupon: | 6.8%, payable monthly if each index closes at or above barrier level on review date for that month
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| Price: | Par
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| Payout at maturity: | Par plus the contingent coupon unless either index finishes below trigger level, in which case full exposure to any losses of worse performing index
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| Call option: | At par on any semiannual review date
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| Initial levels: | 1,921.27 for S&P, 1,012.151 for Russell
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| Coupon barriers: | 1,344.889 for S&P, 708.5057 for Russell; 70% of initial levels
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| Trigger levels: | 1,633.0795 for S&P, 860.32835 for Russell; 85% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.7%
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| Cusip: | 48128GPE4
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