Published on 1/20/2015 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $999,000 contingent interest autocallables tied to indexes, fund
By Susanna Moon
Chicago, Jan. 20 – JPMorgan Chase & Co. priced $999,000 of autocallable contingent interest notes due Jan. 21, 2020 linked to the worse performing of the SPDR Euro Stoxx 50 exchange-traded fund, the Russell 2000 index and the iShares MSCI EAFE ETF, according to an FWP with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of at least 7% if each underlying component closes at or above the 61% coupon barrier level on a review date for that quarter.
If each component closes at or above its initial level on any review date, the notes will be called at par plus the coupon.
The payout at maturity will be par unless any component finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worst performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlyings: | SPDR Euro Stoxx 50 ETF, Russell 2000 index and the iShares MSCI EAFE ETF
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| Amount: | $999,000
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| Maturity: | Jan. 21, 2020
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| Coupon: | 7% per year, payable quarterly if each component closes at or above its barrier level on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any component falls below trigger level, in which case full exposure to any losses of worst performing component
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| Call: | At par plus the coupon if each component closes at or above its initial level on any review date
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| Coupon barriers: | $21.7343 for Stoxx fund, 704.37249 for Russell, $36.6061 for EAFE fund; 61% of initial levels
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| Trigger levels: | $24.941 for Stoxx fund, 808.2963 for Russell, $42.007 for EAFE fund; 70% of initial levels
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| Pricing date: | Jan. 15
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| Settlement date: | Jan. 21
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.35%
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| Cusip: | 48127D6L7
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