Published on 1/31/2013 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2 million callable contingent interest step-up notes tied to indexes
By Toni Weeks
San Diego, Jan. 31 - JPMorgan Chase & Co. priced $2 million of callable contingent interest step-up notes due Feb. 1, 2019 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above its interest barrier on a quarterly review date, the notes will pay a coupon for that quarter. The coupon is 7% per year until Feb. 1, 2016 and 9% after that until maturity. Each index's interest barrier is 70% of its initial level.
The notes are callable at par plus the contingent coupon, if any, on any interest payment date other than the first, second, third and final interest payment dates.
If the notes have not been called, the payout at maturity will be par plus the contingent coupon, if any, unless either index finishes below its trigger level, in which case investors will be fully exposed to the decline of the lesser-performing index from its initial level. Each index's trigger level is 60% of its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest step-up notes
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| Underlying indexes: | Euro Stoxx 50 and Russell 2000
|
| Amount: | $2 million
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| Maturity: | Feb. 1, 2019
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| Contingent coupon: | If each index closes at or above its interest barrier on quarterly review date, the notes will earn interest for that quarter; coupon is 7% per year until Feb. 1, 2016 and 9% per year thereafter until maturity; payable quarterly; interest barrier is 70% of each index's initial level
|
| Price: | Par
|
| Payout at maturity: | If either index finishes below its trigger level, par minus 1% for every 1% that the final level of the lesser-performing index is less than its initial level; otherwise, par plus the contingent coupon, if any
|
| Call option: | At par plus contingent coupon, if any, on any interest payment date other than the first, second, third and final interest payment dates
|
| Initial index levels: | 2,749.27 for Euro Stoxx and 907.31 for Russell 2000
|
| Interest barrier: | 1,924.489 for Euro Stoxx and 635.117 for Russell, 70% of initial levels
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| Trigger level: | 1,649.562 for Euro Stoxx and 544.386 for Russell,; 60% of initial levels
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| Pricing date: | Jan. 29
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| Settlement date: | Jan. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 7%, including 3.85% for selling concessions
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| Cusip: | 48126DVB2
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