Published on 4/23/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $2.62 million 10.4% contingent interest autocalls tied to indexes, fund
By Susanna Moon
Chicago, April 23 – JPMorgan Chase Financial Co. LLC priced $2.62 million of autocallable contingent interest notes due Oct. 21, 2020 linked to the worst performing of the S&P 500 index, the Energy Select Sector SPDR Fund and the SPDR S&P Oil & Gas Exploration & Production 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 10.4% if each underlying 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 first, second, third and final dates.
The payout at maturity will be par unless any underlying asset finishes below 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 or fund.
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 assets: | S&P 500 index, Energy Select Sector SPDR Fund and SPDR S&P Oil & Gas Exploration & Production ETF
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Amount: | $2.62 million
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Maturity: | Oct. 21, 2020
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Coupon: | 10.4% 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 closes below 60% trigger, in which case 1% loss for each 1% decline of worse performing index or fund
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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, second, third and final dates
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Initial levels: | 2,677.84 for S&P, $72.14 for energy fund and $37.65 for oil fund
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Coupon barriers: | 1,874.488 for S&P, $50.498 for energy fund and $26.355 for oil fund, 70% of initial levels
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Trigger levels: | 1,606.704 for S&P, $43.284 for energy fund and $22.59 for oil fund, 60% of initial levels
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Pricing date: | April 16
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Settlement date: | April 19
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.9%
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Cusip: | 48129MLT1
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