Published on 9/22/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2 million contingent interest autocallables linked to index, funds
By Susanna Moon
Chicago, Sept. 22 – JPMorgan Chase Financial Co. LLC priced $2 million of autocallable contingent interest notes due Sept. 23, 2020 linked to the least performing of the Russell 2000 index, the PowerShares QQQ Trust, series 1, and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 8.1% if each underlying index or fund closes at or above its 70% coupon barrier on the review date for that month.
The notes will be called at par plus the contingent coupon if underlying component closes at or above its initial level on any review date other than the first, second, third, fourth, fifth or final date.
The payout at maturity will be par unless any component finishes below its 60% trigger level, in which case investors will be fully exposed to any losses.
The notes are guaranteed by JPMorgan Chase & Co.
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 assets: | Russell 2000 index, PowerShares QQQ Trust, series 1, and the iShares MSCI Emerging Markets ETF
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| Amount: | $2 million
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| Maturity: | Sept. 23, 2020
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| Coupon: | 8.1% annualized, payable monthly if each component closes at or above 70% coupon barrier on review date for that month
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any component finishes below trigger, in which case 1% loss for each 1% decline of worst performing component
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| Call: | At par plus contingent coupon if each component closes at or above initial level on any review date other than first, second, third, fourth, fifth or final date
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| Strike levels: | 1,431.712 for Russell, $146.06 for PowerShares QQQ and $45.59 for MSCI EM fund
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| Coupon barriers: | 1,002.1984 for Russell, $102.242 for PowerShares QQQ and $31.913 for MSCI EM fund; 70% of strike levels
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| Trigger levels: | 859.0272 for Russell, $87.636 for PowerShares QQQ and $27.354 for MSCI EM fund; 60% of strike levels
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| Strike date: | Sept. 15
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| Pricing date: | Sept. 18
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| Settlement date: | Sept. 20
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48129HAC1
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