Published on 6/23/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.7 million contingent income autocallables tied to indexes
By Susanna Moon
Chicago, June 23 – JPMorgan Chase Financial Co. LLC priced $2.7 million of contingent income autocallable securities due Dec. 10, 2019 linked to the least performing of Nasdaq-100 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 are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 8.65% if each index closes at or above the 80% 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 date other than the final determination date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 75% 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: | Nasdaq-100, S&P 500 and Euro Stoxx 50
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Amount: | $2.7 million
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Maturity: | Dec. 10, 2019
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Coupon: | 8.65% annualized for each quarter that each index closes at or above 80% 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 75% 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 final determination date
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Initial index levels: | 5,878.117 for Nasdaq, 2,436.10 for S&P, 3,579.55 for Stoxx
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Coupon barriers: | 4,702.4936 for Nasdaq, 1,948.88 for S&P and 2,863.64 for Stoxx; 80% of initial levels
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Downside threshold: | 4,408.58775 for Nasdaq, 1,827.075 for S&P and 2,684.6625 for Stoxx; 75% of initial levels
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Pricing date: | June 5
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Settlement date: | June 8
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2%
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Cusip: | 46647MGL1
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