Published on 12/7/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $6.34 million contingent income autocallables on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 7 – JPMorgan Chase Financial Co. LLC priced $6.34 million of contingent income autocallable securities due Dec. 5, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent payment at an annualized rate of 8.65% if each index closes at or above its 75% downside threshold level on the observation date for that quarter.
The notes will be redeemed at par of $10 plus the contingent payment if each index closes at or above the initial level on any determination date other than the final date.
The payout at maturity will be par plus the final coupon unless any index finishes below the downside threshold level, in which case investors will be fully exposed to the losses of the least-performing index.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC with handling distribution.
Issuer: | JPMorgan Chase Financial Co. LLC
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Contingent income autocallable securities
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Underlying indexes: | Russell 2000, S&P 500, Nasdaq-100 index
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Amount: | $6,344,000
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Maturity: | Dec. 5, 2018
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Coupon: | 8.65% annualized, payable each quarter that each index closes at or above downside threshold level on observation date that quarter
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Price: | Par of $10
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Payout at maturity: | Par plus the final coupon unless any index finishes below downside threshold level, in which case full exposure to any losses of least-performing index
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Call: | At par plus contingent coupon if each index closes at or above its initial level on any determination date other than final determination date
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Initial levels: | 1,322.339 for Russell 2000, 2,198.81 for S&P 500, 4,810.814 for Nasdaq-100
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Downside thresholds: | 991.75425 for Russell 2000, 1,649.1075 for S&P 500, 3,608.1105 for Nasdaq-100; 75% of initial levels
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Pricing date: | Nov. 30
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Settlement date: | Dec. 5
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Agent: | J.P. Morgan Securities LLC
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Distribution: | Morgan Stanley Smith Barney LLC
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Fees: | 1.5%
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Cusip: | 46646QAV7
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