Published on 5/6/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.91 million callable contingent interest notes on indexes, ETF
By Devika Patel
Knoxville, Tenn., May 6 – JPMorgan Chase Financial Co. LLC priced $1.91 million of callable contingent interest notes due Nov. 12, 2019 to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.55% if each underlying closes at or above its coupon barrier level, 70% of its initial level, on the review date for that quarter.
The notes may be called at par in whole but not in part on any interest payment date other than the first and final ones.
If the notes have not been called, the payout at maturity will be par unless any of the underlyings has finished below its trigger value, 55% of its initial level, in which case investors will lose 1% for every 1% decline of the worst-performing underlying.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Callable contingent interest notes
|
| Underlyings: | S&P 500 index, Russell 2000 index and iShares MSCI EAFE ETF
|
| Amount: | $1,909,000
|
| Maturity: | Nov. 12, 2019
|
| Coupon: | Notes pay quarterly contingent coupon at annual rate of 9.55% if each underlying closes at or above coupon barrier level on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any underlying finishes below 55% of its initial value, in which case 1% loss for every 1% decline of worst-performing underlying
|
| Call option: | Notes may be called at par in whole but not in part on any interest payment date other than first and final ones
|
| Initial levels: | 2,051.12 for S&P 500, 1,113.135 for Russell 2000 and $57.34 for iShares MSCI EAFE
|
| Interest barrier levels: | 1,435.784 for S&P 500, 779.1945 for Russell 2000 and $40.138 for iShares MSCI EAFE; 70% of initial levels
|
| Trigger levels: | 1,128.116 for S&P 500, 612.22425 for Russell 2000 and $31.537 for iShares MSCI EAFE; 55% of initial levels
|
| Pricing date: | May 4
|
| Settlement date: | May 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2%
|
| Cusip: | 46646EAL6
|
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