Published on 7/28/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.19 million contingent interest autocallables linked to three indexes
By Wendy Van Sickle
Columbus, Ohio, July 28 – JPMorgan Chase Financial Co. LLC priced $1.19 million of autocallable contingent interest notes due July 29, 2021 linked to the least 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 will pay a contingent quarterly coupon at an annual rate of 6% if each index closes at or above its 65% 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 first, second, third and final dates.
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
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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 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $1,192,000
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| Maturity: | July 29, 2021
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| Coupon: | 6% 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
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than first, second, third and final dates
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| Initial levels: | 2,477.83 for S&P, 1,442.279 for Russell and 3,491.19 for Stoxx
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| Downside thresholds: | 1,610.5895 for S&P, 937.48135 for Russell and 2,269.2735 for Stoxx; 65% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 3.64807%
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| Cusip: | 46647MTW3
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