Published on 1/17/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $7.52 million contingent income autocalls tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, Jan. 17 – JPMorgan Chase Financial Co. LLC priced $7.52 million of contingent income autocallable securities due Jan. 18, 2023 linked to the least performing of the Russell 2000 index, the MSCI Emerging Markets 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 9.15% if each index closes at or above its 75% coupon barrier on the review date for 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 first and final dates.
The payout at maturity will be par unless any index finishes below its 70% 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 Morgan Stanley Smith Barney LLC handling distribution.
| 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: | Russell 2000, MSCI Emerging Markets and Euro Stoxx 50
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| Amount: | $7,515,000
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| Maturity: | Jan. 18, 2023
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| Coupon: | 9.15% annualized, payable quarterly if each index closes at or above coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any index finishes below downside threshold, 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 quarterly review date other than first and final dates
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| Initial index levels: | 1,591.972 for Russell, 1,208.17 for MSCI Emerging Markets and 3,612.61 for Stoxx
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| Coupon barriers: | 1,193.979 for Russell, 906.1275 for MSCI Emerging Markets and 2,709.4575 for Stoxx; 75% of initial levels
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| Downside thresholds: | 1,114.3804 for Russell, 845.719 for MSCI Emerging Markets and 2,528.827 for Stoxx; 70% of initial levels
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| Pricing date: | Jan. 12
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| Settlement date: | Jan. 18
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution
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| Fees: | 3%
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| Cusip: | 48129HJ73
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