Published on 10/10/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.75 million contingent interest autocallables on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Oct. 10 – JPMorgan Chase Financial Co. LLC priced $1.75 million of autocallable contingent interest notes due Oct. 5, 2022 linked to the least performing of the Russell 2000 index and the S&P 500 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 5.5% if each index closes at or above its 60% coupon barrier on the review date for 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 review date other than the first, second, third and final dates.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
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 indexes: | Russell 2000 and S&P 500
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| Amount: | $1,751,000
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| Maturity: | Oct. 5, 2022
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| Coupon: | 5.5% annualized, payable quarterly if each index closes at or above coupon barrier on review date that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless either index finishes below trigger during, in which case 1% loss for each 1% decline of worse performing index
|
| 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: | 2,519.36 for S&P, 1,490.861 for Russell
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| Coupon barriers: | 1,511.616 for S&P, 894.5166 for Russell; 60% of initial levels
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| Trigger levels: | 1,511.616 for S&P, 894.5166 for Russell; 60% of initial levels
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 4
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.66462%
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| Cusip: | 46647M4N0
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