Published on 8/25/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $866,000 contingent interest autocalls tied to indexes
By Susanna Moon
Chicago, Aug. 25 – JPMorgan Chase Financial Co. LLC priced $866,000 of autocallable contingent interest notes due Feb. 25, 2021 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 monthly coupon at an annual rate of 6% if each index closes at or above its 68% coupon barrier on review date for that month.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date.
The payout at maturity will be par unless either index finishes below its 68% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is a distributor.
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 index, the S&P 500 index and the Euro Stoxx 50 index
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Amount: | $866,000
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Maturity: | Feb. 25, 2021
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Coupon: | 6% annualized, payable monthly if each index closes at or above 68% coupon barrier on review date that month
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Price: | Par
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Payout at maturity: | Par plus contingent coupon unless either index finishes below 68% trigger, in which case 1% loss for each 1% decline of worse performing index
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Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review 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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Triggers: | 932.64516 for Russell, 1,667.7068 for S&P and 2,349.8012 for Stoxx; 68% 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 with Morgan Stanley Smith Barney LLC as distributor
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Fees: | 2.9%
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Cusip: | 46647MT52
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