Published on 5/3/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.85 million 7.25% contingent interest autocalls tied to three indexes
By Susanna Moon
Chicago, May 3 – JPMorgan Chase Financial Co. LLC priced $1.85 million of autocallable contingent interest notes due April 28, 2028 linked to the lesser performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 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 7.25% 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, second, third and final dates.
The payout at maturity will be par unless any index finishes below its 50% trigger 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: | Euro Stoxx 50 index, Russell 2000 index, S&P 500 index
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| Amount: | $1,851,000
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| Maturity: | April 28, 2028
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| Coupon: | 7.25% 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 any index finishes 50% trigger, 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 other than first, second, third and final dates
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| Initial levels: | 3,485.83 for Stoxx, 1,550.467 for Russell and 2,639.40 for S&P
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| Coupon barriers: | 2,440.081 for Stoxx, 1,085.3269 for Russell, 1,847.58 for S&P, 70% of initial levels
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| Trigger levels: | 1,742.915 for Stoxx, 775.2335 for Russell, 1,319.70 for S&P, 50% of initial levels
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| Pricing date: | April 25
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| Settlement date: | April 30
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 4.25%
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| Cusip: | 48129MJT4
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