Published on 5/15/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $727,000 contingent interest autocalls tied to indexes, fund
By Wendy Van Sickle
Columbus, Ohio, May 15 – JPMorgan Chase Financial Co. LLC priced $727,000 of autocallable contingent interest notes due Nov. 14, 2019 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6.75% if each underlying asset closes at or above its 70% coupon barrier on the review date.
The notes will be called at par plus the contingent coupon if each asset 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 underlying asset finishes below 70% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worst performing index or fund.
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 assets: | S&P 500 index, Russell 2000 index, iShares MSCI EAFE ETF
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| Amount: | $727,000
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| Maturity: | Nov. 14, 2019
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| Coupon: | 6.75% annualized, payable monthly if each asset closes at or above coupon barrier on review date
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| Price: | Par
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| Payout at maturity: | Par unless any asset finishes below initial level and any asset ever closes below trigger, in which case 1% loss for each 1% decline of worse performing index or fund
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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 final date
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| Initial levels: | 2,697.79 for S&P, 1,596.053 for Russell and $71.12 for fund
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| Coupon barrier/triggers: | 1,888.453 for S&P, 1,117.2371 for Russell and $49.784 for fund, 70% of initial levels
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| Pricing date: | May 9
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| Settlement date: | May 14
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.225%
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| Cusip: | 48129MSL1
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