Published on 11/7/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $7.19 million contingent interest autocallables linked to indexes, fund
By Wendy Van Sickle
Columbus, Ohio, Nov. 7 – JPMorgan Chase Financial Co. LLC priced $7.19 million of autocallable contingent interest notes due Feb. 5, 2019 linked to the least performing of the Russell 2000 index, the 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 9.25% 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 underlying component closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless any component finishes below its initial level and any component closes below its 60% trigger level any day during the life of the notes, 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, Euro Stoxx 50 index, and the iShares MSCI Emerging Markets ETF
|
| Amount: | $7,187,000
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| Maturity: | Feb. 5, 2019
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| Coupon: | 9.25% annualized, payable quarterly if each component closes at or above 70% coupon barrier on review date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless any component finishes below initial level and any component closes below trigger during life of notes, in which case 1% loss for each 1% decline of worst performing component
|
| Call: | At par plus contingent coupon if each component closes at or above initial level on any review date other than final date
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| Strike levels: | 1,502.773 for Russell, 3,673.95 for Stoxx and $46.28 for MSCI EM fund
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| Coupon barriers: | 1,051.9411 for Russell, 2,571.765 for Stoxx and $32.396 for MSCI EM fund; 70% of initial levels
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| Triggers: | 901.6638 for Russell, 2,204.37 for Stoxx and $27.768 for MSCI EM fund; 60% of initial levels
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| Pricing date: | Oct. 31
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| Settlement date: | Nov. 3
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 3.9466%
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| Cusip: | 48129HJJ7
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