Published on 3/29/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $9.62 million contingent coupon autocallable yield notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, March 29 – JPMorgan Chase Financial Co. LLC priced $9.62 million of contingent coupon autocallable yield notes due March 26, 2020 linked to the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes pay a contingent quarterly coupon at an annual rate of 14.35% if each asset closes above its 80% barrier on the observation date for that quarter.
The notes will be called at par if each asset closes at or above its initial level on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless any asset finishes below its barrier, in which case investors will be fully exposed to the decline of the least-performing asset.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying assets: | Euro Stoxx 50, Russell 2000, iShares MSCI Emerging Markets ETF
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| Amount: | $9,617,000
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| Maturity: | March 26, 2020
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| Coupon: | 14.35% per year, payable quarterly if each asset closes at or above barrier level on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par plus the final coupon unless any asset finishes below its barrier level, in which case 1% loss for each 1% decline of the worst-performing asset
|
| Call option: | At par if each index closes at or above its initial level on any quarterly observation date
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| Initial levels: | 3,298.07 for Euro Stoxx, 1,510.083 for Russell, $46.89 for ETF
|
| Barrier levels: | 2,638.456 for Euro Stoxx, 1,208.0664 for Russell, $37.512 for ETF, 80% 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: | 1.75%
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| Cusip: | 48129MEU6
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