Published on 11/20/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.44 million contingent interest autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 20 – JPMorgan Chase Financial Co. LLC priced $2.44 million of autocallable contingent interest notes due Nov. 19, 2018 linked to the least performing of the S&P 500 Total Return index, the Russell 2000 Total Return index and the Euro Stoxx 50 Net Return 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 9% if each index closes at or above its 70% 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 final date.
The payout at maturity will be par unless any index finishes below its initial level and any index closes below its 70% trigger level any day during the life of the notes, 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: | S&P 500 Total Return index, Russell 2000 Total Return index and Euro Stoxx 50 Net Return index
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| Amount: | $2,436,000
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| Maturity: | Nov. 19, 2018
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| Coupon: | 9% annualized, payable quarterly if each index closes at or above 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 initial level and any index closes below trigger during life of notes, 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 quarterly review date other than the final date
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| Initial index levels: | 5,014.529 for S&P, 7,221.570 for Russell and 7,146.72 for Stoxx
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| Trigger levels: | 3,510.1703 for S&P, 5,055.099 for Russell and 5,002.704 for Stoxx; 70% of initial levels
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| Pricing date: | Nov. 14
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| Settlement date: | Nov. 17
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.4%
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| Cusip: | 48129HPE1
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