Published on 10/14/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.53 million contingent income callable notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 14 – JPMorgan Chase Financial Co. LLC priced $4.53 million of callable contingent interest notes due June 28, 2018 linked to the least performing of the Euro Stoxx 50 index, 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 pay a contingent quarterly coupon at an annual rate of 10.85% if each index closes above its downside threshold, 65% of the indexes’ closing levels on the strike date of June 24, on each day that quarter.
The notes will be callable at par on any review date other than the final date.
The payout at maturity will be par plus the contingent coupon, if any, unless any index finishes below its downside threshold, 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
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500, Russell 2000
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| Amount: | $4,525,000
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| Maturity: | June 8, 2018
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| Coupon: | 10.85% annualized, payable quarterly if each index closes at or above its 65% downside threshold on each day during that quarter
|
| Price: | Par
|
| Payout at maturity: | Par unless any index finishes below 65% downside threshold, in which case full exposure to any losses of worst performing index
|
| Call option: | At par on any quarterly determination date other than final date
|
| Initial index levels: | 2,776.09 for Euro Stoxx, 1,127.538 for Russell and 2,037.41 for S&P, set on June 24
|
| Downside threshold: | 1,804.4585 for Euro Stoxx, 732.8997 for Russell and 1,324.3165 for S&P; 65% of initial levels on strike date of June 24
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| Pricing date: | Oct. 11
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| Settlement date: | Oct. 14
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| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Wealth Management
|
| Fees: | None
|
| Cusip: | 46646ES94
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