Published on 5/26/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1 million autocallable contingent interest notes on indexes, ETF
By Devika Patel
Knoxville, Tenn., May 26– JPMorgan Chase Financial Co. LLC priced $1 million of autocallable contingent interest notes due May 20, 2020 linked to the lesser performing of the S&P 500 index, the Russell 2000 index 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 will pay a contingent monthly coupon at an annual rate of 7.5% if each underlying closes at or above its interest barrier level, 65% of its initial level, on any monthly review date.
The notes will be called at par plus the contingent coupon if each underlying closes at or above its initial level on any review date other than the final one beginning on Nov. 15, 2017.
The payout at maturity will be par plus the final coupon unless any underlying finishes below its 60% trigger level, in which case investors will lose 1% for each 1% decline of the worse performing underlying from its initial level.
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: | Autocallable contingent interest notes
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| Underlyings: | S&P 500 index, Russell 2000 index and iShares MSCI Emerging Markets exchange-traded fund
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| Amount: | $1 million
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| Maturity: | May 20, 2020
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| Coupon: | 7.5% annualized, payable monthly if each underlying closes at or above trigger level on review date for that month
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any underlying finishes below trigger level, in which case 1% loss for each 1% decline of worse performing underlying from initial level
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| Call: | At par plus contingent coupon if each underlying closes at or above initial level on any review date other than final one beginning on April 20, 2018
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| Initial levels: | 2,390.90 for S&P, 1,382.77 for Russell, $41.22 for fund
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| Interest barriers: | 1,554.085 for S&P, 898.8005 for Russell, $26.793 for fund; 65% of initial levels
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| Trigger levels: | 1,434.54 for S&P, 829.662 for Russell, $24.732 for fund; 60% of initial levels
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| Pricing date: | May 24
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| Settlement date: | May 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.9%
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| Cusip: | 46647MDQ3
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