Published on 4/23/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $895,000 5.75% contingent interest autocalls tied to three indexes
By Susanna Moon
Chicago, April 23 – JPMorgan Chase Financial Co. LLC priced $895,000 of autocallable contingent interest notes due April 20, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 5.75% if each index closes at or above its 60% coupon barrier on the review date for that month.
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 final date.
The payout at maturity will be par unless any index finishes below its 60% barrier level, in which case investors will be fully exposed to any losses of the worst 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: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $895,000
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| Maturity: | April 20, 2023
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| Coupon: | 5.75% annualized, payable monthly if each index closes at or above 60% coupon barrier on review date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any index closes below 60% barrier, in which case 1% loss for each 1% decline of worst 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
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| Initial levels: | 2,706.39 for S&P, 1,579.802 for Russell and 3,477.91 for Stoxx
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| Barrier levels: | 1,623.834 for S&P, 947.8812 for Russell and 2,086.746 for Stoxx, 60% of initial levels
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| Pricing date: | April 17
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| Settlement date: | April 20
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.125%
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| Cusip: | 48129MLL8
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