Published on 4/11/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.35 million of contingent income autocallables on indexes
By Devika Patel
Knoxville, Tenn., April 11 – JPMorgan Chase Financial Co. LLC priced $2.35 million of contingent income autocallable securities due April 11, 2019 linked to the worst 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 9.85% if each index closes at or above the 75% downside threshold level on each trading day during 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 of the quarterly determination dates from July 7, 2017 to Jan. 10, 2019.
The payout at maturity will be par plus the final coupon, if any, unless any index finishes below the 75% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level.
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 with contingent downside
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $2.35 million
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| Maturity: | April 11, 2019
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| Coupon: | 9.85% annualized for each quarter that each index closes at or above downside threshold level on each trading day during that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon, if any, if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worst performing index from initial level.
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of the quarterly determination dates from July 7, 2017 to Jan. 10, 2019
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| Initial levels: | 2,355.54 for S&P; 1,364.563 for Russell and 3,495.80 for Euro Stoxx
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| Downside thresholds: | 1,766.655 for S&P; 1,023.42225 for Russell and 2,621.85 for Euro Stoxx, 75% of initial levels
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| Pricing date: | April 7
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| Settlement date: | April 12
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 46646Q5A9
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