Published on 5/18/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1 million contingent coupon autocallable yield notes on indexes
By Wendy Van Sickle
Columbus, Ohio, May 18 – JPMorgan Chase Financial Co. LLC priced $1 million of contingent coupon autocallable yield notes due May 18, 2020 linked to the Euro Stoxx 50 index, the Russell 2000 index, the Dow Jones Industrial Average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes pay a contingent quarterly coupon at an annual rate of 9.25% if each index closes above its 70% barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless any index finishes below its barrier, in which case investors will be fully exposed to the decline of the least-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: | Contingent coupon autocallable yield notes
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| Underlying indexes: | Euro Stoxx 50, S&P 500, Russell 2000, Dow Jones Industrial Average
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| Amount: | $1 million
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| Maturity: | May 18, 2020
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| Coupon: | 9.25% per year, payable quarterly if each index closes at or above barrier level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus the final coupon unless any index finishes below its 70% barrier level, in which case 1% loss for each 1% decline of the worst-performing index
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| Call option: | At par if each index closes at or above its initial level on any quarterly observation date
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| Initial index levels: | 3,637.52 for Euro Stoxx, 2,390.90 for S&P, 1,382.770 for Russell, 20,896.610 for Dow
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| Barrier levels: | 2,546.264 for Euro Stoxx, 1,673.63 for S&P, 967.939 for Russell, 14,627.627, 70% of initial levels
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| Pricing date: | May 12
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| Settlement date: | May 17
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.125%
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| Cusip: | 22550B4L4
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