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Share Name | Share Symbol | Market | Type |
---|---|---|---|
JP Morgan Chase and Co | NYSE:JPM | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.04 | -0.02% | 198.73 | 199.85 | 198.04 | 198.80 | 7,049,537 | 01:00:00 |
April 26
,
2016
|
Registration Statement No.333-209682; Rule 424(b)(2)
|
JPMorgan Chase & Co.
Structured Investments
$2,234,000
Auto Callable Contingent Interest Notes Linked to the Lesser
Performing of the S&P 500
®
Index and the Russell 2000
®
Index due April 30, 2026
Registration Statement Update
The prospectus and prospectus supplement, each dated February 19, 2016, and product supplement no. 4a-I and underlying supplement no. 1a-I, each dated November 7, 2014, which were referenced in the preliminary pricing supplement dated April 1, 2016 relating to the notes (filed under the registration statement no. 333-199966), have been superseded by the accompanying prospectus, accompanying prospectus supplement, accompanying product supplement and accompanying underlying supplement, each dated April 15, 2016 and filed under the registration statement no. 333-209682.
General
•
The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for which the closing level of each of the S&P 500
®
Index and the Russell 2000
®
Index, which we refer to as the Indices, is greater than or equal to 75.00% of its Initial Value, which we refer to as an Interest Barrier.
•
The notes will be automatically called if the closing level of each Index on any Review Date (other than the first, second, third and final Review Dates) is greater than or equal to its Initial Value.
•
Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates.
•
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
•
The notes are unsecured and unsubordinated obligations of JPMorgan Chase & Co.
Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
•
Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each of the Indices individually, as described below.
•
Minimum denominations of $1,000 and integral multiples thereof
•
The notes priced on April 26, 2016 and are expected to settle on or about April 29, 2016
.
•
CUSIP: 48128GVP2
|
Indices:
The S&P 500
®
Index (Bloomberg ticker: SPX) and the Russell 2000
®
Index (Bloomberg ticker: RTY)
Contingent Interest Payments:
If the notes have not been automatically called and the closing level of each Index on any Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $20.25 (equivalent to a Contingent Interest Rate of 8.10% per annum, payable at a rate of 2.025% per quarter)
.
If the closing level of either Index on any Review Date is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent Interest Rate:
8.10% per annum, payable at a rate of 2.025% per quarter
Interest Barrier:
With respect to each Index, 75.00% of its Initial Value, which is 1,568.775 for the S&P 500
®
Index and 863.046 for the Russell 2000
®
Index
Trigger Value:
With respect to each Index, 60.00% of its Initial Value, which is 1,255.02 for the S&P 500
®
Index and 690.4368 for the Russell 2000
®
Index
Pricing Date:
April 26, 2016
Original Issue Date (Settlement Date):
On or about April 29, 2016
Review Dates*:
July 26, 2016, October 26, 2016, January 26, 2017, May 2, 2017, July 26, 2017, October 26, 2017, January 26, 2018, April 25, 2018, July 26, 2018, October 26, 2018, January 28, 2019, April 25, 2019, July 26, 2019, October 28, 2019, January 28, 2020, April 27, 2020, July 28, 2020, October 27, 2020, January 26, 2021, April 27, 2021, July 27, 2021, October 26, 2021, January 26, 2022, April 26, 2022, July 26, 2022, October 26, 2022, January 26, 2023, April 25, 2023, July 26, 2023, October 26, 2023, January 26, 2024, April 25, 2024, July 26, 2024, October 28, 2024, January 28, 2025, April 25, 2025, July 28, 2025, October 28, 2025, January 27, 2026 and April 24, 2026
(final Review Date)
Interest Payment Dates*:
July 29, 2016, October 31, 2016, January 31, 2017, May 5, 2017, July 31, 2017, October 31, 2017, January 31, 2018, April 30, 2018, July 31, 2018, October 31, 2018, January 31, 2019, April 30, 2019, July 31, 2019, October 31, 2019, January 31, 2020, April 30, 2020, July 31, 2020, October 30, 2020, January 29, 2021, April 30, 2021, July 30, 2021, October 29, 2021, January 31, 2022, April 29, 2022, July 29, 2022, October 31, 2022, January 31, 2023, April 28, 2023, July 31, 2023, October 31, 2023, January 31, 2024, April 30, 2024, July 31, 2024, October 31, 2024, January 31, 2025, April 30, 2025, July 31, 2025, October 31, 2025, January 30, 2026 and the Maturity Date
Maturity Date*:
April 30, 2026
Call Settlement Date*
:
If the notes are automatically called on any Review Date (other than the first, second, third and final Review Dates), the first Interest Payment Date immediately following that Review Date
* Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. 4-I
|
Automatic Call:
If the closing level of each Index on any Review Date (other than the first, second, third and final Review Dates) is greater than or equal to its Initial Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final Value of each Index is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment, if any, applicable to the final Review Date.
If the notes have not been automatically called and the Final
Value of either Index is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing Index Return)
If the notes have not been automatically called and the Final Value of either Index is less than its Trigger Value, you will lose more than 40.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Lesser Performing Index:
The Index with the Lesser Performing Index Return
Lesser Performing Index Return:
The lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final Value – Initial Value)
Initial Value
Initial Value:
With respect to each Index, the closing level of that Index on the Pricing Date, which was 2,091.70 for the S&P 500
®
Index and 1,150.728 for the Russell 2000
®
Index
Final Value:
With respect to each Index, the closing level of that Index on the final Review Date
|
PS-
1
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
PS-
2
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
40
|
$810.00
|
39
|
$789.75
|
38
|
$769.50
|
37
|
$749.25
|
36
|
$729.00
|
35
|
$708.75
|
34
|
$688.50
|
33
|
$668.25
|
32
|
$648.00
|
31
|
$627.75
|
30
|
$607.50
|
29
|
$587.25
|
28
|
$567.00
|
27
|
$546.75
|
26
|
$526.50
|
25
|
$506.25
|
24
|
$486.00
|
23
|
$465.75
|
22
|
$445.50
|
21
|
$425.25
|
20
|
$405.00
|
19
|
$384.75
|
18
|
$364.50
|
17
|
$344.25
|
16
|
$324.00
|
15
|
$303.75
|
14
|
$283.50
|
13
|
$263.25
|
12
|
$243.00
|
11
|
$222.75
|
10
|
$202.50
|
PS-
3
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Number of Contingent
Interest Payments
|
Total Contingent Interest
Payments
|
9
|
$182.25
|
8
|
$162.00
|
7
|
$141.75
|
6
|
$121.50
|
5
|
$101.25
|
4
|
$81.00
|
3
|
$60.75
|
2
|
$40.50
|
1
|
$20.25
|
0
|
$0.00
|
· | an Initial Value for the Lesser Performing Index of 100.00; |
· | an Interest Barrier for the Lesser Performing Index of 75.00 (equal to 75.00% of its hypothetical Initial Value); |
· | a Trigger Value for the Lesser Performing Index of 60.00 (equal to 60.00% of its hypothetical Initial Value); and |
· | a Contingent Interest Rate of 8.10% per annum (payable at a rate of 2.025% per quarter). |
PS-
4
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Date
|
Closing Level of Lesser
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$20.25
|
Second Review Date
|
85.00
|
$20.25
|
Third through Thirty-Ninth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
$1,020.25
|
Total Payment
|
$1,060.75 (6.075% return)
|
Date
|
Closing Level of Lesser
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
95.00
|
$20.25
|
Second Review Date
|
85.00
|
$20.25
|
Third through Thirty-Ninth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
65.00
|
$1,0
00.00
|
Total Payment
|
$1,040.50 (4.050% return)
|
Date
|
Closing Level of Lesser
Performing Index
|
Payment (per $1,000 principal amount note)
|
First Review Date
|
60.00
|
$0
|
Second Review Date
|
55.00
|
$0
|
Third through Thirty-Ninth Review Dates
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
40.00
|
$4
00.00
|
Total Payment
|
$4
00.00
(-6
0.00
% return)
|
PS-
5
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
· | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — |
· | THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — |
· | CREDIT RISK OF JPMORGAN CHASE & CO. — |
· | THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS THAT MAY BE PAID OVER THE TERM OF THE NOTES, |
· | POTENTIAL CONFLICTS — |
· | WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500 ® INDEX, |
· | YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX — |
· | YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX. |
· | THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE — |
PS-
6
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
· | THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — |
· | YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES. |
· | AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS WITH RESPECT TO THE RUSSELL 2000 ® INDEX — |
· | THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE IS GREATER IF THE LEVEL OF THAT INDEX IS VOLATILE. |
· | LACK OF LIQUIDITY — |
· | JPMS’S ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — |
· | JPMS’S ESTIMATED VALUE DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — |
· | JPMS’S ESTIMATED VALUE IS NOT DETERMINED BY REFERENCE TO CREDIT SPREADS FOR OUR CONVENTIONAL FIXED-RATE DEBT — |
· | THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN JPMS’S THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — |
PS-
7
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
· | SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — |
· | SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — |
PS-
8
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
PS-
9
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
PS-
10
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
PS-
11
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
· | Product supplement no. 4-I dated April 15, 2016: |
· | Underlying supplement no. 1-I dated April 15, 2016: |
· | Prospectus supplement and prospectus, each dated April 15, 2016: |
PS-
12
|
Structured Investments
Auto Callable Contingent Interest Notes Linked to the Lesser Performing of
the S&P 500
®
Index and the Russell 2000
®
Index
|
|
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