Published on 4/10/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.25 million contingent interest autocalls tied to indexes, ETF
By Tali Rackner
Minneapolis, April 10 – JPMorgan Chase Financial Co. LLC priced $1.25 million of autocallable contingent interest notes due Oct. 9, 2019 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 7.5% if each asset closes at or above its 80% interest 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 first and final dates.
The payout at maturity will be par unless either asset finishes below its 80% buffer level, in which case investors will be exposed to any losses of the least-performing asset.
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 assets: | Euro Stoxx 50 index, Russell 2000 index, iShares MSCI Emerging Markets ETF
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| Amount: | $1.25 million
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| Maturity: | Oct. 9, 2019
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| Coupon: | 7.7% annualized, payable quarterly if each asset closes at or above interest barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either asset finishes below buffer level, in which case 1% loss for each 1% decline of least-performing asset
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| Call: | At par plus contingent coupon if each asset closes at or above initial level on any review date other than first and final dates
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| Initial values: | 3,340.35 for Stoxx, 1,531.665 for Russell and $47.90 for ETF
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| Barrier/buffer levels: | 2,672.28 for Stoxx, 1,225.332 for Russell and $38.32 for ETF, 80% of initial levels
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| Pricing date: | April 4
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| Settlement date: | April 9
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.9%
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| Cusip: | 48129MGL4
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