Published on 7/27/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.52 million contingent interest autocallables linked to three indexes
By Wendy Van Sickle
Columbus, Ohio, July 27 – JPMorgan Chase Financial Co. LLC priced $1.52 million of autocallable contingent interest notes due Jan. 24, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8% if each index closes at or above its 80% downside threshold on each day that period.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless any index finishes below its downside threshold, in which case investors will lose 1% for each 1% decline of the worst performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is a distributor.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
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| Amount: | $1,519,000
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| Maturity: | Jan. 24, 2020
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| Coupon: | 8% annualized, payable quarterly if each index closes at or above downside threshold on each day that period
|
| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any index finishes below downside threshold, in which case 1% loss for each 1% decline of worst performer
|
| Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than the final date
|
| Initial levels: | 2,469.91 for S&P, 1,438.055 for Russell and 5,941.369 for Nasdaq
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| Downside thresholds: | 1,975.928 for S&P, 1,150.444 for Russell and 4,753.0952 for Nasdaq; 80% of initial levels
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| Pricing date: | July 24
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| Settlement date: | July 27
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
|
| Fees: | 2.5%
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| Cusip: | 46647MYB3
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