Published on 8/24/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.78 million contingent income autocallables on indexes
By Susanna Moon
Chicago, Aug. 24 – JPMorgan Chase Financial Co. LLC priced $1.78 million of contingent income autocallable securities due Feb. 27, 2020 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 annualized rate of 12.05% if each index closes at or above its 80% downside threshold on each trading day during the observation period for that quarter.
The notes will be called at par if each underlying component closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par plus the final coupon unless any index finishes below its 80% downside threshold, in which case investors will be fully exposed to the decline 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: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index and Euro Stoxx 50
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| Amount: | $1,775,000
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| Maturity: | Feb. 27, 2020
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| Issue price: | Par
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| Coupon: | 12.05% annualized, payable if each index closes at or above its 80% downside threshold during observation period for that quarter
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| Payout at maturity: | If each index finishes at or above 80% downside threshold, par; otherwise, full exposure to decline of worst performing index
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| Call: | At par if each component closes at or above initial level on any review date other than final date
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| Initial levels: | 1,371.537 for Russell, 2,452.51 for S&P and 3,455.59 for Stoxx
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| Downside thresholds: | 1,097.2296 for Russell, 1,962.008 for S&P and 2,764.472 for Stoxx; 80% of initial levels
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| Pricing date: | Aug. 22
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| Settlement date: | Aug. 25
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%
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| Cusip: | 46647MT37
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