Published on 7/26/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $8.99 million contingent income callable notes linked to indexes
By Angela McDaniels
Tacoma, Wash., July 26 – JPMorgan Chase Financial Co. LLC priced $8.99 million of contingent income callable securities due July 26, 2018 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon at an annual rate of 9.05% if each index closes at or above its downside threshold level, 65% of its initial index level, on each day during that quarter.
The notes are callable at par on any quarterly determination date other than the final one.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $8,994,000
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| Maturity: | July 26, 2018
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| Coupon: | 9.05% per year, payable quarterly if each index closes at or above its downside threshold level on each day during that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
|
| Call option: | At par on any quarterly determination date other than final one
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| Initial index levels: | 2,972.23 for Euro Stoxx 50, 2,175.03 for Russell 2000 and 1,212.889 for S&P 500
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| Downside thresholds: | 1,931.9495 for Euro Stoxx 50, 1,413.7695 for Russell 2000 and 788.37785 for S&P 500; 65% of initial levels
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| Pricing date: | July 22
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| Settlement date: | July 27
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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: | 2%
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| Cusip: | 46646EQC9
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