Published on 6/22/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.27 million autocallable contingent interest notes tied to indexes
By Wendy Van Sickle
Columbus, Ohio, June 22 – JPMorgan Chase Financial Co. LLC priced $1.27 million of autocallable contingent interest notes due July 9, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 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 10.15% if each index closes at or above its coupon barrier level, 80% of its initial level, 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 Oct. 3, 2017, Jan. 2, 2018, April 3, 2018 or July 3, 2018.
The payout at maturity will be par unless any index finishes below its initial level and any index closes below the 80% trigger level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worst performing index.
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, Russell 2000, Euro Stoxx 50
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| Amount: | $1.27 million
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| Maturity: | July 9, 2018
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| Coupon: | 10.15% annualized, payable quarterly if each underlying index closes at or above coupon barrier level on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any index finishes below initial level and any index closes below trigger level during the life of the notes, in which case 1% loss for each 1% decline of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on Oct. 3, 2017, Jan. 2, 2018, April 3, 2018 or July 3, 2018
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| Initial levels: | 2,437.03 for S&P, 1,402.968 for Russell and 3,560.66 for Stoxx
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| Coupon/ trigger levels: | 1,949.624 for S&P, 1,122.3744 for Russell and 2,848.528 for Stoxx; 80% of initial levels
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| Pricing date: | June 20
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| Settlement date: | June 23
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 46647MLU5
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