Published on 2/12/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $5.43 million 9.65% contingent interest autocalls tied to indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, Feb. 12 – JPMorgan Chase Financial Co. LLC priced $5.43 million of autocallable contingent interest notes due May 9, 2019 linked to the least performing of the Russell 2000 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.65% if each asset closes at or above its 70% coupon barrier on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each asset 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 asset finishes below its initial level and ever closes below its 60% trigger level during the life of the notes, 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.
| 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, Euro Stoxx 50 and iShares MSCI Emerging Markets ETF
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| Amount: | $5,432,000
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| Maturity: | May 9, 2019
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| Coupon: | 9.65% annualized, payable quarterly if each asset closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below initial level and ever closes below 60% trigger, in which case 1% loss for each 1% decline of worst performing asset
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| Call: | At par plus contingent coupon if each asset closes at or above initial level on any quarterly review date other than final date
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| Initial index levels: | 1,507.168 for Russell, 3,394.92 for Stoxx and $48.87 for fund
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| Coupon barriers: | 1,055.0176 for Russell, 2,376.444 for Stoxx and $34.209 for fund; 70% of initial levels
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| Trigger levels: | 904.3008 for Russell, 2,036.952 for Stoxx and $29.322 for fund; 60% of initial levels
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| Pricing date: | Feb. 6
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| Settlement date: | Feb. 9
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.33742%
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| Cusip: | 48129H4G9
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