Published on 5/23/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1 million 9% contingent interest autocalls on Russell, two funds
By Susanna Moon
Chicago, May 23 – JPMorgan Chase Financial Co. LLC priced $1 million of autocallable contingent interest notes due May 14, 2021 linked to the least performing of the Russell 2000 index, the iShares MSCI Emerging Markets ETF and the Financial Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 9% if each underlying asset closes at or above its 77.5% coupon barrier on the review date for that month.
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 after six months.
The payout at maturity will be par unless any asset falls by more than 22.5%, in which case investors will be fully exposed to any losses of the worse performing index or fund beyond the geared buffer.
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: | Russell 2000 index, iShares MSCI Emerging Markets ETF and Financial Select Sector SPDR Fund
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| Amount: | $1 million
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| Maturity: | May 14, 2021
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| Coupon: | 9% annualized, payable monthly if each asset closes at or above 77.5% coupon barrier on review date for that month
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| Price: | Par
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| Payout at maturity: | Par unless any asset falls by more than 22.5%, in which case 1.29032% loss for each 1% decline of worse performing fund or index beyond 22.5%
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| Call: | At par plus contingent coupon if each fund closes at or above initial level on any quarterly review date beginning Nov. 12, 2018
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| Initial levels: | 1,245.26 for Russell, $36.735 for EM fund, $21.90 for financial fund
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| Barrier levels: | 1,606.79 for Russell, $47.40 for EM fund, $28.26 for financial fund, 77.5% of initial levels
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| Pricing date: | May 11
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| Settlement date: | May 16
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 48129MTP1
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