Published on 2/15/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $465,000 of 7% contingent interest callables tied to indexes, fund
By Susanna Moon
Chicago, Feb. 15 – JPMorgan Chase Financial Co. LLC priced $465,000 of callable contingent interest notes due Feb. 8, 2021 linked to the least performing of the Russell 2000 index, the S&P 500 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 7% if each underlying component closes at or above its 70% coupon barrier on the review date for that quarter.
The notes are callable at par on any review date other than the first and final dates.
The payout at maturity will be par unless any component finishes below its 50% trigger level, 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: | Callable contingent interest notes
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| Underlying assets: | Russell 2000 index, S&P 500 index and iShares MSCI Emerging Markets ETF
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| Amount: | $465,000
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| Maturity: | Feb. 8, 2021
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| Coupon: | 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 unless any component finishes below 50% trigger, in which case 1% loss for each 1% decline of worst performing index or fund
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| Call option: | At par on any quarterly review date other than first and final dates
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| Initial levels: | 1,574.982 for Russell, 2,823.81 for S&P and $51.03 for fund
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| Coupon barriers: | 1,102.4874 for Russell, 1,976.667 for S&P and $35.721 for fund; 70% of initial levels
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| Trigger levels: | 787.491 for Russell, 1,411.905 for S&P and $25.515 for fund; 50% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 48129H3H8
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