Published on 8/18/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $771,000 contingent interest autocalls tied to indexes
By Susanna Moon
Chicago, Aug. 18 – JPMorgan Chase Financial Co. LLC priced $771,000 of autocallable contingent interest notes due Aug. 20, 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 annual rate of 8.75% if each index closes at or above its 70% coupon barrier on 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 and final dates.
The payout at maturity will be par unless any index finishes below its 70% trigger, 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. 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, S&P 500 index and Euro Stoxx 50
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| Amount: | $771,000
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| Maturity: | Aug. 20, 2020
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| Coupon: | 8.75% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any index finishes below trigger level, in which case 1% loss for each 1% decline of worst performing index
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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 and final dates
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| Initial levels: | 1,383.237 for Russell, 2,464.61 for S&P and 3,461.91 for Stoxx
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| Triggers: | 968.2659 for Russell, 1,725.227 for S&P and 2,423.337 for Stoxx; 70% of initial levels
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| Pricing date: | Aug. 15
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| Settlement date: | Aug. 18
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 0.35%
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| Cusip: | 46647MP72
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