Published on 3/27/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.88 million autocallable contingent interest notes on indexes
By Devika Patel
Knoxville, Tenn., March 27 – JPMorgan Chase Financial Co. LLC priced $2.88 million of autocallable contingent interest notes due Sept. 26, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 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 monthly coupon at an annual rate of 7% if each index closes at or above its interest barrier level, 75% of its initial level, on the review date for that month.
Beginning on Sept. 21, 2017, the notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the final date.
The payout at maturity will be par plus the final coupon unless either index finishes below its initial level and either index closes below its 70% trigger level on any day during the life of the notes, in which case investors will lose 1% for each 1% decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $2,875,000
|
| Maturity: | Sept. 26, 2018
|
| Coupon: | 7% annualized, payable monthly, if each index closes above its interest barrier level on review date for that month
|
| Price: | Par
|
| Payout at maturity: | Par plus final coupon unless either index finishes below initial level and either index closes below trigger level on any day during life of notes, in which case 1% loss for each 1% decline of lesser-performing index
|
| Call: | At par plus contingent coupon, beginning on Sept. 21, 2017, if each index closes at or above initial level on any quarterly review date other than final date
|
| Initial levels: | 2,344.02 for S&P and 1,346.546 for Russell
|
| Interest barrier levels: | 1,758.015 for S&P and 1,009.9095 for Russell; 75% of initial levels
|
| Trigger levels: | 1,640.814 for S&P and 942.5822 for Russell; 70% of initial levels
|
| Pricing date: | March 21
|
| Settlement date: | March 24
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 46646QV69
|
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