Published on 3/2/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.49 million contingent interest autocallables tied to S&P, Russell
By Susanna Moon
Chicago, March 2 – JPMorgan Chase Financial Co. LLC priced $2.49 million of autocallable contingent interest notes due Feb. 29, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 7.25% if each index closes at or above its 75% coupon barrier level on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the first, second, third and final dates.
The payout at maturity will be par unless either index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
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 indexes: | S&P 500 and Russell 2000
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| Amount: | $2,489,000
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| Maturity: | Feb. 29, 2024
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| Coupon: | 7.25% per year, payable quarterly if each index closes at or above 75% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index finishes below 60% trigger level, in which case 1% loss for each 1% decline of worse performing index
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| Call: | At par if each index closes at or above initial level on any review date other than the first, second, third and final dates
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| Initial levels: | 2,367.34 for S&P and 1,394.525 for Russell
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| Coupon barriers: | 1,775.505 for S&P and 1,045.89375 for Russell, or 75% of initial levels
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| Trigger levels: | 1,420.404 for S&P and 836.715 for Russell, or 60% of initial levels
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.25%
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| Cusip: | 46646QKN4
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