Published on 7/10/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.03 million contingent interest autocallables tied to three indexes
By Susanna Moon
Chicago, July 10 – JPMorgan Chase Financial Co. LLC priced $1.03 million of autocallable contingent interest notes due June 30, 2022 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6% if each index closes at or above its 65% coupon barrier on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the first, second, third and final dates.
The payout at maturity will be par unless any index finishes below its 65% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are guaranteed by JPMorgan Chase & Co.
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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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $1,031,000
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| Maturity: | June 30, 2022
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| Coupon: | 6% annualized, payable quarterly if each underlying index closes at or above 65% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any index finishes below its 65% trigger, in which case 1.53846% loss for each 1% decline of worst performing index beyond 35%
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than first, second, third and final dates
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| Initial index levels: | 3,561.76 for Stoxx, 2,439.07 for S&P and 1,416.64 for Russell
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| Triggers: | 2,315.144 for Stoxx, 1,585.3955 for S&P and 920.816 for Russell, 65% of initial levels
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| Pricing date: | June 26
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| Settlement date: | June 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.25%
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| Cusip: | 46647MSW4
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