Published on 4/4/2024 in the Prospect News Structured Products Daily.
New Issue: Jefferies prices $2.82 million autocallable contingent coupon barrier notes on indexes
By William Gullotti
Buffalo, N.Y., April 4 – Jefferies Group LLC and Jefferies Group Capital Finance Inc. priced $2.82 million of 0% senior autocallable contingent coupon barrier notes due March 27, 2029 tied to the performance of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes carry a contingent coupon of 7.25%, paid quarterly, if each underlying index closes at or above its 70% coupon barrier on the relevant observation date.
After one year, the notes will be called automatically at par plus the coupon if each index closes at or above its initial level on any quarterly observation date.
If the notes are not called and each index finishes at or above its coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above the 55% threshold level, the payout will be par. Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
Jefferies LLC is the agent.
| Issuers: | Jefferies Group LLC and Jefferies Group Capital Finance Inc.
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| Issue: | Senior autocallable contingent coupon barrier notes
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| Underlying indexes: | Dow Jones industrial average, Russell 2000 index, S&P 500 index
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| Amount: | $2,823,000
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| Maturity: | March 27, 2029
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| Coupon: | 7.25%, payable quarterly if worst performing index closes at or above coupon barrier on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above coupon barrier, par plus final coupon; if worst performer finishes below coupon barrier but at or above threshold level, par; otherwise, full exposure to decline of worst performer from its initial level
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| Call: | Automatically at par plus coupon if each index closes at or above its initial level on any quarterly valuation date after one year
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| Initial levels: | 39,475.9 for Dow, 2,071.998 for Russell, 5,234.18 for S&P
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| Coupon barriers: | 27,633.13 for Dow, 1,450.399 for Russell, 3,663.92 for S&P; 70% of initial levels
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| Threshold levels: | 21,711.75 for Dow, 1,139.599 for Russell, 2,878.8 for S&P; 55% of initial levels
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| Pricing date: | March 22
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| Settlement date: | March 27
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| Agent: | Jefferies LLC
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| Fees: | 2%
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| Cusip: | 47233WDM8
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