Published on 12/8/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $11.61 million 8% contingent yield trigger callables tied to indexes
By Susanna Moon
Chicago, Nov. 27 – JPMorgan Chase Financial Co. LLC priced $11.61 million of trigger callable contingent yield notes due Dec. 3, 2020 linked to 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 will pay a contingent quarterly coupon at an annualized rate of 8% if each index closes at or above its 75% coupon barrier on each day during a quarterly observation period.
The notes are callable at par on any quarterly determination date after six months.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 75% downside threshold, 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: | Trigger callable contingent yield notes with daily coupon observation and six-month initial non-call period
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $11,605,740
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| Maturity: | Dec. 3, 2020
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| Coupon: | 8% per year, payable quarterly if each index closes at or above 75% coupon barrier on each day during a quarterly observation period
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above 75% downside threshold, par; otherwise, 1% loss per 1% decline
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| Call option: | At par on each quarterly observation date after six months other than final date
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| Initial levels: | 2,627.04 for S&P, 1,536.433 for Russell, 3,583.49 for Stoxx
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| Downside thresholds: | 1,707.58 for S&P, 998.681 for Russell, 2,329.27 for Stoxx; 65% of initial levels
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| Pricing date: | Nov. 28
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| Settlement date: | Nov. 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 48129K795
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