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Published on 7/19/2017 in the Prospect News Structured Products Daily.

New Issue: JPMorgan sells $650,000 contingent interest autocallables tied to index, two funds

By Marisa Wong

Morgantown, W.Va., July 19 – JPMorgan Chase Financial Co. LLC priced $650,000 of autocallable contingent interest notes due July 2, 2020 linked to the least performing of the Russell 2000 index, the PowerShares QQQ Trust, Series 1 and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

Each month, the notes will pay a contingent coupon at an annual rate of 6% if each component closes at or above its 67% coupon barrier on the review date for that month.

The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any quarterly review date beginning Dec. 29.

The payout at maturity will be par unless any component finishes below its 67% trigger level, in which case investors will lose 1% for each 1% decline of the worst performing component.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase Financial Co. LLC
Guarantor:JPMorgan Chase & Co.
Issue:Autocallable contingent interest notes
Underlying assets:Russell 2000 index, PowerShares QQQ Trust, Series 1 and iShares MSCI EAFE ETF
Amount:$650,000
Maturity:July 2, 2020
Coupon:6% annualized, payable each month that each underlying component closes at or above coupon barrier on review date for that month
Price:Par
Payout at maturity:Par plus contingent coupon unless any component falls below trigger level, in which case 1% loss for each 1% decline of worst performer
Call:At par plus contingent coupon if each component closes at or above initial level on any quarterly review date beginning Dec. 29
Initial levels:1,416.199 for index, $137.59 for PowerShares QQQ and $65.16 for iShares EAFE
Coupon barriers:948.85333 for index, $92.1853 for PowerShares QQQ and $43.6572 for iShares EAFE; 67% of initial levels
Trigger levels:948.85333 for index, $92.1853 for PowerShares QQQ and $43.6572 for iShares EAFE; 67% of initial levels
Pricing date:June 29
Settlement date:July 5
Agent:J.P. Morgan Securities LLC
Fees:2.9%
Cusip:46647MSY0

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