Published on 7/19/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.23 million contingent coupon autocallables linked to three indexes
By Angela McDaniels
Tacoma, Wash., July 19 – JPMorgan Chase Financial Co. LLC priced $2.23 million of contingent coupon autocallable yield notes due July 19, 2018 linked to the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon at the rate of 8.85% per year if each index closes at or above its trigger value, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date other than the final one.
If the notes are not called, the payout at maturity will be par unless any index finishes below its trigger value, in which case investors will have one-to-one exposure to the decline of the least-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: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $2,232,000
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| Maturity: | July 19, 2018
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| Coupon: | 8.85% per year, payable quarterly if each index closes at or above trigger value on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below trigger value, in which case one-to-one exposure to decline of least-performing index
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| Call: | Automatically at par if each index closes at or above initial level on any quarterly observation date other than final one
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| Initial index levels: | 2,161.74 for S&P 500, 1,205.309 for Russell 2000 and 2,958.65 for Euro Stoxx 50
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| Trigger values: | 1,513.218 for S&P 500, 843.7163 for Russell 2000 and 2,071.055 for Euro Stoxx 50; 70% of initial levels
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| Pricing date: | July 15
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| Settlement date: | July 20
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 46646EPH9
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