Published on 10/11/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $3.73 million contingent income callable notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, Oct. 11 – JPMorgan Chase Financial Co. LLC priced $3.73 million of contingent income callable securities due Oct. 2, 2020 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon at an annual rate of 7.15% if each index closes at or above its downside threshold, 65% of its initial index level, on each trading day that quarter.
The notes are callable at par on any quarterly interest payment date other than the first and final ones.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
|
| Amount: | $3,734,000
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| Maturity: | Oct. 2, 2020
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| Coupon: | 7.15% per year, payable quarterly if each index closes at or above downside threshold on each trading day that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, 1% loss for each 1% decline of lowest-performing index
|
| Call option: | At par on any quarterly interest payment date other than first and final ones
|
| Initial levels: | 1,490.861 for Russell, 2,519.36 for S&P and 3,594.85 for Stoxx
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| Downside thresholds: | 969.05965 for Russell, 1,637.584 for S&P and 2,336.6525 for Stoxx; 65% 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 with Morgan Stanley Wealth Management as a distributor
|
| Fees: | 2%
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| Cusip: | 48129HAM9
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