Published on 9/21/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $9.43 million contingent coupon autocallables on indexes
By Marisa Wong
Morgantown, W.Va., Sept. 21 – JPMorgan Chase Financial Co. LLC priced $9.43 million of contingent coupon autocallable yield notes due Sept. 20, 2018 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 annualized rate of 11.9% if the worst performing index closes at or above its coupon barrier level, 75% of the initial level, on the observation date for that quarter.
The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly valuation date other than the final one.
If the final level of the worst performing index is greater than or equal to the 75% trigger level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be fully exposed to the decline of the worst performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying indexes: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $9.43 million
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| Maturity: | Sept. 20, 2018
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| Coupon: | 11.9% per year, payable each quarter that worst performing index closes at or above its coupon barrier level on the observation date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | If the final level of the worst performing index is greater than or equal to the trigger level, par plus the contingent coupon; otherwise, investors will be fully exposed to the decline of the worst performing index
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| Call: | Automatically at par plus the contingent coupon if each index closes at or above the initial level on any quarterly valuation date other than the final one
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| Initial levels: | 2,139.16 for S&P 500, 1,224.779 for Russell 2000 and 2,935.25 for Euro Stoxx
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| Barrier/trigger levels: | 1,604.37 for S&P 500, 918.58425 for Russell 2000 and 2,201.4375 for Euro Stoxx; 75% of initial levels
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| Pricing date: | Sept. 16
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| Settlement date: | Sept. 21
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 46646EA69
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