Published on 11/21/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.87 million autocallable yield notes on indexes, fund
By Devika Patel
Knoxville, Tenn., Nov. 21 – JPMorgan Chase Financial Co. LLC priced $2.87 million of autocallable yield notes due Feb. 23, 2018 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The interest rate will be 6.35% per year, and interest will be payable monthly.
Beginning Feb. 17, 2017, the notes will be called at par if each underlying closes at or above its initial level on any quarterly call observation date other than the final one.
The payout at maturity will be par unless any underlying closes below its trigger level, 60% of its initial level, on any day during the life of the notes and the return of the least-performing underlying is negative, in which case investors will lose 1% for every 1% that the least-performing underlying finishes below its initial level.
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: | Autocallable yield notes
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| Underlyings: | S&P 500, Russell 2000 and iShares MSCI Emerging Markets ETF
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| Amount: | $2,872,000
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| Maturity: | Feb. 23, 2018
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| Coupon: | 6.35%, payable monthly
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| Price: | Par
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| Payout at maturity: | Par unless any underlying falls below trigger level and return of least-performing underlying is negative, in which case 1% loss for every 1% decline of worst performing underlying
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| Call: | At par if each underlying closes at or above the initial level on any quarterly observation date other than the final one beginning Feb. 17, 2017
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| Initial levels: | 2,187.12 for S&P 500, 1,309.484 for Russell, $34.75 for iShares MSCI EM
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| Trigger levels: | 1,312.272 for S&P 500, 785.6904 for Russell, $20.85 for iShares MSCI EM, 60% of initial levels
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| Pricing date: | Nov. 17
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| Settlement date: | Nov. 22
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.475%
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| Cusip: | 46646E3B6
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