Published on 10/25/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.74 million 8.7% contingent autocallables tied to indexes, fund
By Susanna Moon
Chicago, Oct. 25 – JPMorgan Chase Financial Co. LLC priced $1.74 million of autocallable contingent interest notes due April 26, 2019 tied to the lesser performing of the Russell 2000 index, Euro Stoxx 50 index 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 quarterly coupon at an annual rate of 8.7% if each underlying index or fund closes at or above its 70% coupon barrier on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each underlying component closes at or above initial level on any quarterly review date other than the final date.
The payout at maturity will be par unless any component finishes below its initial level and ever closes below its 70% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing component.
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, Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $1.74 million
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| Maturity: | April 26, 2019
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| Coupon: | 8.7% annualized, payable quarterly if each component closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any component ever falls by more than 30% and finishes below its initial level, in which case 1% loss for each 1% decline of worst performing component
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| Call: | At par if each underlying component closes at or above initial level on any review date other than final date
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| Initial levels: | 1,502.044 for Russell, 3,602.08 for Stoxx, $46.09 for fund
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| Barrier levels: | 1,051.4308 for Russell, 2,521.456 for Stoxx, $32.263 for fund; 70% of initial levels
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| Pricing date: | Oct. 19
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| Settlement date: | Oct. 24
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.225%
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| Cusip: | 48129HHB6
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