Published on 6/21/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.38 million dual directional review notes on indexes
By Marisa Wong
Morgantown, W.Va., June 21 – JPMorgan Chase Financial Co. LLC priced $2.38 million of 0% review notes due Dec. 21, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will be called at par plus an annualized call premium of 10.5% if each index closes at or above its initial level on Dec. 16, 2016, June 16, 2017 or Dec. 18, 2017.
If the notes are not called and the return of each index is negative 20% or greater, the payout at maturity will be par plus the absolute value of the return of the lesser-performing index. Otherwise, investors will lose 1.25% for every 1% that the lesser-performing index declines beyond 20%.
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: | Dual directional review notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2,377,000
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| Maturity: | Dec. 21, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the return of each index is negative 20% or greater, par plus the absolute value of the return of the lesser-performing index; otherwise, 1.25% loss for every 1% that the lesser-performing index declines beyond 20%
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| Call: | Automatically at par plus 10.5% per year if each index closes at or above initial level on Dec. 16, 2016, June 16, 2017 or Dec. 18, 2017
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| Strike values: | 2,077.99 for S&P 500 and 1,148.191 for Russell 2000
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| Pricing date: | June 17
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| Settlement date: | June 22
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.15%
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| Cusip: | 46646EHZ8
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