Published on 8/25/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.85 million contingent interest callable notes tied to three indexes
By Susanna Moon
Chicago, Aug. 25 – JPMorgan Chase Financial Co. LLC priced $2.85 million of callable contingent interest notes due May 29, 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 quarterly coupon at an annual rate of 6.4% if each index closes at or above its 60% coupon barrier on review date for that quarter.
The notes are callable at par plus the contingent coupon on any review date other than the first 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.
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: | Callable contingent interest notes
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| Underlying indexes: | Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index
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| Amount: | $2,848,000
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| Maturity: | May 29, 2020
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| Coupon: | 6.4% annualized, payable quarterly if each index closes at or above 60% coupon barrier on review date that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless either index finishes below 60% trigger, in which case 1% loss for each 1% decline of worse performing index
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| Call option: | At par on any review date other than first and final dates
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| Initial levels: | 1,371.537 for Russell, 2,452.51 for S&P and 3,455.59 for Stoxx
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| Triggers: | 822.9222 for Russell, 1,471.506 for S&P and 2,073.354 for Stoxx; 60% of initial levels
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| Pricing date: | Aug. 22
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| Settlement date: | Aug. 25
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC as distributor
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| Fees: | 0.75%
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| Cusip: | 46647MT45
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