Published on 6/30/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $5.87 million autocallable contingent interest notes tied to indexes
By Devika Patel
Knoxville, Tenn., June 30 – JPMorgan Chase Financial Co. LLC priced $5.87 million of autocallable contingent interest notes due Oct. 2, 2018 linked to the lesser 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 6.25% if each index closes at or above its coupon barrier level, 70% 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 any quarterly review date other than the final one beginning on Sept. 27, 2017.
The payout at maturity will be par unless any index finishes below its initial level and any index closes below the 70% trigger level during the life of the notes, in which case investors will lose 1% for each 1% decline of the worse performing index from its initial level.
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: | $5,872,000
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| Maturity: | Oct. 2, 2018
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| Coupon: | 6.25% 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 from initial level
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any quarterly review date other than final one beginning Sept. 27, 2017
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| Initial levels: | 2,419.38 for S&P, 1,403.522 for Russell and 3,538.32 for Stoxx
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| Coupon/ trigger levels: | 1,693.566 for S&P, 982.4654 for Russell and 2,476.824 for Stoxx; 70% of initial levels
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| Pricing date: | June 27
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| Settlement date: | June 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.04543%
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| Cusip: | 46647MLD3
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