Published on 10/25/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3 million contingent coupon autocallables on indexes
By Susanna Moon
Chicago, Oct. 25 – JPMorgan Chase Financial Co. LLC priced $3 million of contingent coupon autocallable yield notes due Oct. 25, 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 annualized rate of 11.6% if each 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 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 date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below the 75% trigger level, in which case investors will be fully exposed to any losses 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: | $2,997,000
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| Maturity: | Oct. 25, 2018
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| Coupon: | 11.6% per year, payable each quarter that worst performing index closes at or above its 75% coupon barrier on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below 75% trigger level, in which case full exposure to any losses of the worst performing index
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| Call: | 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 date
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| Initial levels: | 2,141.16 for S&P, 1,218.096 for Russell and 3,077.65 for Euro Stoxx
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| Trigger levels: | 1,605.87 for S&P, 913.572 for Russell and 2,308.2375 for Euro Stoxx; 75% of initial levels
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| Pricing date: | Oct. 21
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| Settlement date: | Oct. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 46646E2C5
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