Published on 11/22/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3.16 million of contingent coupon autocallables on three indexes
By Devika Patel
Knoxville, Tenn., Nov. 22 – JPMorgan Chase Financial Co. LLC priced $3.16 million of contingent coupon autocallable yield notes due Nov. 23, 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.
The notes will pay a contingent quarterly coupon at an annual rate of 11% if each index closes at or above its barrier level, 75% of its initial level, on the observation date for that quarter.
The payout at maturity will be par unless any index closes below its 75% barrier level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index.
The notes will be called at par if each index closes at or above its initial level on any observation date other than the final one beginning on Feb. 21, 2017.
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: | $3,158,000
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| Maturity: | Nov. 23, 2018
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| Coupon: | 11% per year per quarterly period if each index closes at or above barrier level during that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index closes below its 75% barrier level during the life of the notes, in which case 1% loss for each 1% decline of the worst performing index
|
| Call option: | At par if each index closes at or above its initial level on any observation date other than the final one after Feb. 21, 2017
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| Initial index levels: | 2,181.90 for S&P 500, 1,315.642 for Russell 2000, 3,020.83 for Euro Stoxx 50
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| Barrier levels: | 1,636.425 for S&P 500, 986.7315 for Russell 2000, 2,265.6225 for Euro Stoxx 50, 75% of initial levels
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| Pricing date: | Nov. 18
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| Settlement date: | Nov. 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 46646QAN5
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