Published on 4/10/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $600,000 autocallable contingent interest notes tied to indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, April 10 – JPMorgan Chase Financial Co. LLC priced $600,000 of autocallable contingent interest notes due April 1, 2021 linked to the least performing of the S&P 500 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 9.05% if each underlying closes at or above its interest barrier level, 70% of its initial level, on any interest review date.
The notes will be called at par plus the contingent coupon if each underlying closes at or above its initial level on any payment date other than the first and final dates.
The payout at maturity will be par plus the final coupon unless any underlying finishes below its 50% trigger level, in which case investors will lose 1% for each 1% decline of the worst-performing underlying from its initial level.
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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| Underlyings: | S&P 500 index, Russell 2000 and iShares MSCI Emerging Markets ETF
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| Amount: | $600,000
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| Maturity: | April 1, 2021
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| Coupon: | 9.05% annualized, payable quarterly if each underlying closes at or above interest barrier level on interest review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless any underlying finishes below trigger level, in which case 1% loss for each 1% decline of worst-performing underlying from initial level
|
| Call: | At par plus contingent coupon if each underlying closes at or above initial level on any payment date other than first and final dates
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| Initial levels: | 2,612.62 for S&P 500, 1,513.566 for Russell, $47.53 for fund
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| Interest barriers: | 1,828.834 for S&P 500, 1,059.4962 for Russell, $33.271 for fund; 70% of initial levels
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| Trigger levels: | 1,306.31 for S&P 500, 756.783 for Russell, $23.765 for fund; 50% of initial levels
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| Pricing date: | March 27
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| Settlement date: | March 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.6%
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| Cusip: | 48129MFZ4
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