Published on 11/20/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.91 million 8.05% contingent income autocalls tied to three indexes
By Susanna Moon
Chicago, Nov. 20 – JPMorgan Chase Financial Co. LLC priced $2.91 million of contingent income autocallable securities due Nov. 16, 2020 linked to the worst performing of the Euro Stoxx Banks index, the Russell 2000 index and the S&P 500 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 8.05% if each index closes at or above its 70% coupon barrier on the determination date 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 final date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold, 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 with distribution 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 autocallable securities
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| Underlying indexes: | Euro Stoxx Banks, S&P 500 and Russell 2000
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| Amount: | $2,911,000
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| Maturity: | Nov. 16, 2020
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| Coupon: | 8.05% per year, payable quarterly if each index closes at or above 70% coupon barrier on determination date that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above 60% downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above initial level on any quarterly interest payment date other than final date
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| Initial levels: | 1,475.275 for Russell, 2,582.30 for S&P and 132.35 for Stoxx Banks
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| Coupon barriers: | 1,032.6925 for Russell, 1,807.61 for S&P and 92.645 for Stoxx Banks, 70% of initial levels
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| Downside thresholds: | 885.165 for Russell, 1,549.38 for S&P and 79.41 for Stoxx Banks, 60% of initial levels
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| Pricing date: | Nov. 10
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| Settlement date: | Nov. 15
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2%
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| Cusip: | 48129HNG8
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