Published on 10/28/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.16 million buffered return notes tied to S&P, Russell
By Susanna Moon
Chicago, Oct. 28 – JPMorgan Chase Financial Co. LLC priced $1.16 million of uncapped buffered return enhanced notes due Oct. 29, 2021 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.
If each index finishes at or above its 132% upside leverage threshold, the payout at maturity will be par plus 32% plus 1.25 times any gain of the worse performing index above 32%.
If either index gains by up to its upside threshold, the payout will be par plus 27%.
Otherwise, the payout will be par unless either index falls by more than 30%, in which case investors will be exposed to any losses of the worse performing index beyond the buffer.
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: | Uncapped buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1,161,000
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| Maturity: | Oct. 29, 2021
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| Coupon: | 0%
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| Price: | Par
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| Call option: | At par plus contingent coupon on any interest payment date other than final date
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| Payout at maturity: | If each index gains by more than 132% of initial level, par plus 32% plus 1.25% for each 1% gain of worse performing index above 32%; if either index gains by up to its upside threshold, par plus 27%; otherwise, par unless either index falls by more than 30%, in which case exposure to any losses of worse performing index beyond 30%
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| Initial levels: | 2,141.16 for S&P and 1,218.096 for Russell
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| Upside thresholds: | 2,824.0476 for S&P and 1,590.26868 for Russell; 132% of initial levels
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5211%
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| Cusip: | 46646EN57
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