Published on 3/28/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.1 million contingent interest autocalls tied to two indexes
By Wendy Van Sickle
Columbus, Ohio, March 28 – JPMorgan Chase Financial Co. LLC priced $1.1 million of autocallable contingent interest notes due Sept. 26, 2019 linked to the least performing of the S&P 500 index and the Russell 2000 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 8.6% if each index 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 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 either index finishes below its initial level and ever closes below its 70% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worse 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, S&P 500
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| Amount: | $1.1 million
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| Maturity: | Sept. 26, 2019
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| Coupon: | 8.6% annualized, payable quarterly if each index 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 either index finishes below initial level and ever closes below 70% trigger, in which case 1% loss for each 1% decline of worse 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 levels: | 1,510.083 for Russell, 2,588.26 for S&P
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| Coupon barriers: | 1,057.0581 for Russell, 1,811.782 for S&P, 70% of initial levels
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| Trigger levels: | 1,057.0581 for Russell, 1,811.782 for S&P, 70% of initial levels
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| Pricing date: | March 23
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| Settlement date: | March 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.35%
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| Cusip: | 48129MCY0
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