Published on 12/21/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.56 million contingent interest autocalls tied to indexes, fund
By Wendy Van Sickle
Columbus, Ohio, Dec. 21 – JPMorgan Chase Financial Co. LLC priced $1.56 million of autocallable contingent interest notes due Dec. 19, 2019 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 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 9.6% if each underlying component 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 component closes at or above its initial level on any review date other than the first and final dates.
The payout at maturity will be par unless any component finishes below its initial level and any component closes below the 70% trigger level any day during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing index or fund.
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: | Euro Stoxx 50, Russell 2000 and iShares MSCI Emerging Markets ETF
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| Amount: | $1,557,000
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| Maturity: | Dec. 19, 2019
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| Coupon: | 9.6% 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 finishes below initial level and any component has closed below 70% trigger during life of notes, in which case 1% loss for each 1% decline of worst performing index or fund
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| Call: | At par plus contingent coupon if each component closes at or above initial level on any quarterly review other than the first and final dates
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| Strike levels: | 3,560.53 for Stoxx, 1,530.425 for Russell and $46.17 for fund
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| Coupon barriers: | 2,492.371 for Stoxx, 1,071.2975 for Russell and $32.319 for fund; 70% of initial levels
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| Trigger levels: | 2,492.371 for Stoxx, 1,071.2975 for Russell and $32.319 for fund; 70% of initial levels
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| Pricing date: | Dec. 15
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| Settlement date: | Dec. 20
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.55%
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| Cusip: | 48129HVP9
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