Published on 9/8/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $8.86 million contingent income autocallables tied to three indexes
By Susanna Moon
Chicago, Sept. 8 – JPMorgan Chase Financial Co. LLC priced $8.86 million of contingent income autocallable securities due Sept. 6, 2022 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 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 8.5% if each index closes at or above 75% 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 70% downside threshold, 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: | Contingent income autocallable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $8,856,000
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| Maturity: | Sept. 6, 2022
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| Coupon: | 8.5% annualized, payable quarterly if each index closes at or above 75% coupon barrier on review date that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below 70% downside threshold, 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, second, third and final dates
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| Initial levels: | 3,421.47 for Stoxx, 2,471.65 for S&P, 1,405.277 for Russell
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| Coupon barriers: | 2,566.1025 for Stoxx, 1,853.7375 for S&P, 1,053.95775 for Russell; 75% of initial levels
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| Downside thresholds: | 2,395.029 for Stoxx, 1,730.155 for S&P, 983.6939 for Russell; 70% of initial levels
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 6
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 46647MS79
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