Published on 7/31/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $275,000 7.75% step-up contingent interest autocalls on Stoxx, Russell
By Susanna Moon
Chicago, July 31 – JPMorgan Chase Financial Co. LLC priced $275,000 of autocallable step-up contingent interest notes due July 31, 2023 linked to the lesser performing of 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 quarterly coupon at an annual rate if each index closes at or above its 70% coupon barrier on the review date for that quarter. The contingent rate will be 7% for the first eight review dates, stepping up to 8% for the next eight review dates and to 9% after that.
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 either underlying index finishes below 70% trigger level, in which case investors will be fully exposed to any losses of the worse 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 step-up contingent interest notes
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| Underlying indexes: | Euro Stoxx 50 index, Russell 2000 index
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| Amount: | $275,000
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| Maturity: | July 31, 2023
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| Coupon: | 7% annualized for the first eight review dates, stepping up to 8% for the next eight review dates and to 9% after that, 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 either index finishes below 70% trigger, in which case 1% loss for each 1% decline of worse performing index
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than first and final dates
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| Initial levels: | 3,509.26 for Stoxx, 1,695.36 for Russell
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| Trigger levels: | 2,456.482 for Stoxx, 1,186.752 for Russell, 70% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 48129M5P7
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