Published on 4/25/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $21.49 million contingent interest autocallables linked to three indexes
By Devika Patel
Knoxville, Tenn., April 25 – JPMorgan Chase Financial Co. LLC priced $21.49 million of contingent income callable securities due Oct. 24, 2019 linked to the worst performing of 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 are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon at an annual rate of 10.2% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day of that quarter.
The notes are callable at par on any quarterly interest payment date other than the final one beginning on July 26, 2017.
If each index finishes at or above its downside threshold level, 65% of its initial index level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will lose 1% for each 1% decline of the least-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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| Amount: | $21,492,000
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| Maturity: | Oct. 24, 2019
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| Coupon: | 10.2% per year, payable quarterly if each index closes at or above coupon barrier level on each day of that quarter
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of any index is less than downside threshold level, 1% loss for each 1% decline of lowest-performing index
|
| Call option: | At par on any quarterly interest payment date other than final one beginning July 26, 2017
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| Initial index levels: | 3,440.27 for Euro Stoxx, 2,348.69 for S&P and 1,379.854 for Russell
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| Coupon barrier levels: | 2,580.2025 for Euro Stoxx, 1,761.5175 for S&P and 1,034.8905 for Russell; 75% of initial levels
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| Downside thresholds: | 2,236.1755 for Euro Stoxx, 1,526.6485 for S&P and 896.9051 for Russell; 65% of initial levels
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| Pricing date: | April 21
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| Settlement date: | April 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.25%
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| Cusip: | 46646QQW8
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