Published on 5/4/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $5.75 million contingent income autocallables tied to indexes
By Wendy Van Sickle
Columbus, Ohio, May 4 – JPMorgan Chase Financial Co. LLC priced $5.75 million of contingent income autocallable securities due May 4, 2022 linked to the worst performing of 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 7.8% if each index closes at or above the 70% coupon barrier on the determination date 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 quarterly determination dates other than the first, second, third and final determination dates.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 60% downside threshold, in which case investors will lose 1% for each 1% decline of the worst performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.
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, S&P 500 and Russell 2000
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Amount: | $5,745,000
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Maturity: | May 4, 2022
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Coupon: | 7.8% annualized for each quarter that each index closes at or above coupon barrier on observation date for quarter
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Price: | Par
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Payout at maturity: | Par plus contingent coupon if each index finishes at or above downside threshold; otherwise, 1% loss for each 1% decline of worst performing index
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Call: | At par plus contingent payment if each index closes at or above initial level on any quarterly determination dates other than the first, second, third and final determination dates
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Initial index levels: | 3,559.59 for Euro Stoxx, 2,384.20 for S&P and 1,400.428 for Russell
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Coupon barriers: | 2,491.713 for Euro Stoxx, 1,668.94 for S&P and 980.296 for Russell; 70% of initial levels
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Downside thresholds: | 2,135.754 for Euro Stoxx, 1,430.52 for S&P and 840.2568 for Russell, 60% of initial levels
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Pricing date: | April 28
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Settlement date: | May 4
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Agent: | J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution
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Fees: | 3%
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Cusip: | 46646Q6A8
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