Published on 9/19/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.17 million contingent income autocallables on indexes
By Wendy Van Sickle
Columbus, Ohio, Sept. 19 – JPMorgan Chase Financial Co. LLC priced $1.17 million of contingent income autocallable securities due Sept. 18, 2020 linked to the worst performing of the Russell 2000 index, the S&P 500 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 8.75% if each index closes at or above the 75% downside threshold level on each trading day during 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 of the quarterly determination dates other than the first and final ones.
The payout at maturity will be par plus the final coupon, if any, unless any index finishes below the downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $1,172,000
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| Maturity: | Sept. 18, 2020
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| Coupon: | 8.75% annualized for each quarter that each index closes at or above downside threshold level on each trading day during that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon, if any, if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worst performing index from initial level
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of the quarterly determination dates other than first and final ones
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| Initial levels: | 1,431.712 for Russell; 2,500.23 for S&P and 3,515.55 for Stoxx
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| Downside thresholds: | 1,073.784 for Russell; 1,875.1725 for S&P and 2,636.6625 for Stoxx, 75% of initial levels
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 20
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.5%
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| Cusip: | 46647MX65
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