Published on 6/2/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.8 million contingent buffered notes linked to Russell 2000, S&P 500
By Angela McDaniels
Tacoma, Wash., June 2 – JPMorgan Chase Financial Co. LLC priced $1.8 million of 0% uncapped contingent buffered return enhanced notes due May 31, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final level of each index is greater than its upside leverage threshold, the payout at maturity will be par plus 30% plus 1.2% for every 1% that the lesser-performing index’s return exceeds 30%.
If the final level of either index is less than its upside leverage threshold but the final level of each index is greater than or equal to 70% of its initial level, the payout will be par plus 30%.
If the final level of either index is less than its initial level by more than 30%, investors will be exposed to the decline of the lesser-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: | Uncapped contingent buffered return enhanced notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1,801,000
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Maturity: | May 31, 2022
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final level of each index is greater than upside leverage threshold, par plus 30% plus 1.2% for every 1% that lesser-performing index’s return exceeds 30%; if final level of either index is less than upside leverage threshold but final level of each index is greater than or equal to 70% of initial level, par plus 30%; if final level of either index is less than initial level by more than 30%, exposure to decline of lesser-performing index
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Initial index levels: | 2,411.80 for S&P 500 and 1,370.208 for Russell 2000
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Upside leverage thresholds: | 3,135.34 for S&P 500 and 1,781.2704 for Russell 2000; 130% of initial levels
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Pricing date: | May 31
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Settlement date: | June 5
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.38062%
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Cusip: | 46647MAF0
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