Published on 2/3/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.96 million contingent coupon autocallable yield notes on index, funds
By Wendy Van Sickle
Columbus, Ohio, Feb. 3 – JPMorgan Chase Financial Co. LLC priced $4.96 million of contingent coupon autocallable yield notes due Jan. 31, 2019 linked to the Nasdaq-100 index, the SPDR S&P MidCap 400 ETF trust and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes pay a contingent quarterly coupon at an annual rate of 10% if each asset closes above its 75% barrier on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless any asset finishes below its barrier, in which case investors will be fully exposed to the decline of the least-performing asset.
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 assets: | Nasdaq-100 index, SPDR S&P MidCap 400 ETF trust and iShares MSCI Emerging Markets exchange-traded fund
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| Amount: | $4,959,000
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| Maturity: | Jan. 31, 2019
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| Coupon: | 10% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus the final coupon unless any index finishes below its 75% barrier level, in which case 1% loss for each 1% decline of the worst-performing index
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| Call option: | At par if each index closes at or above its initial level on any quarterly observation date
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| Initial index levels: | 5,168.061 for index, $308.32 for SPDR S&P MidCap 400, $37.47 for iShares MSCI Emerging Markets
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| Barrier levels: | 3,876.04575 for index, $231.24 for SPDR S&P MidCap 400, $28.1025 for iShares MSCI Emerging Markets, 75% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 46646QWM3
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