Published on 8/18/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.07 million contingent interest autocalls on indexes
By Susanna Moon
Chicago, Aug. 18 – JPMorgan Chase Financial Co. LLC priced $1.07 million of autocallable contingent interest notes due Aug. 20, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 8.5% if each index closes at or above its 70% coupon barrier on review date for that month.
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 final date.
The payout at maturity will be par unless any index finishes below its 70% trigger, in which case investors will be fully exposed to any losses of the worst performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is a distributor.
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: | Russell 2000 index, S&P 500 index and Euro Stoxx 50
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Amount: | $1,065,000
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Maturity: | Aug. 20, 2020
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Coupon: | 8.5% annualized, payable monthly if each index closes at or above 70% coupon barrier on review date that month
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Price: | Par
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Payout at maturity: | Par plus contingent coupon unless any index finishes below trigger level, in which case 1% loss for each 1% decline of worst performing index
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Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than final date
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Initial levels: | 1,383.534 for Russell, 2,468.11 for S&P and 3,484.57 for Stoxx
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Triggers: | 968.4738 for Russell, 1,727.677 for S&P and 2,439.199 for Stoxx; 70% of initial levels
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Pricing date: | Aug. 16
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Settlement date: | Aug. 21
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Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
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Fees: | 0.6%
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Cusip: | 46647MP56
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