Published on 10/21/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.79 million capped buffered enhanced notes tied to index basket
By Susanna Moon
Chicago, Oct. 21 – JPMorgan Chase Financial Co. LLC priced $2.79 million of 0% capped buffered enhanced participation notes due Oct. 24, 2018 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight.
The payout at maturity will be par plus 1.5 times any basket gain, up to a maximum settlement amount of $1,228 per $1,000 principal amount of notes.
Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for each 1% decline beyond 15%.
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: | Capped buffered enhanced participation notes
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| Underlying indexes: | Euro Stoxx 50 (37% weight), FTSE 100 (23% weight), Topix (23% weight), Swiss Market (9% weight) and S&P/ASX 200 (8% weight)
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| Amount: | $2,785,000
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| Maturity: | Oct. 24, 2018
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 1.5 times any basket gain, capped at 22.8%; par if basket falls by up to 15%; 1.1765% loss per 1% decline beyond 15%
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| Initial levels: | 3,055.94 for Stoxx, 7,021.92 for FTSE, 1,357.20 for Topix, 8,093.78 for Swiss Market and 5,435.363 for S&P/ASX
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| Barrier levels: | 85% of initial levels
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| Pricing date: | Oct. 19
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| Settlement date: | Oct. 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.73%
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| Cusip: | 46646EV82
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