Published on 9/4/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $6.52 million 10.5% contingent income autocalls tied to three indexes
By Susanna Moon
Chicago, Sept. 4 – JPMorgan Chase Financial Co. LLC priced $6.52 million of contingent income autocallable securities due Nov. 30, 2020 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx Banks 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 10.5% if each underlying index closes at or above its 70% coupon barrier on the observation 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 determination date other than the final date.
The payout at maturity will be par unless any index finishes below its 70% threshold 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: | Contingent income autocallable securities
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| Underlying assets: | Russell 2000 index, S&P 500 index and Euro Stoxx Banks index
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| Amount: | $6,521,000
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| Maturity: | Nov. 30, 2020
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| Coupon: | 10.5% annualized, payable quarterly if each index closes at or above its 70% coupon barrier on observation date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above threshold level, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any determination date other than the final date
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| Initial levels: | 1,725.671 for Russell, 2,874.69 for S&P and 106.61 for Stoxx banks
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| Threshold levels: | 1,207.9697 for Russell, 2,012.283 for S&P and 74.627 for Stoxx banks, 70% of initial levels
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| Pricing date: | Aug. 24
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| Settlement date: | Aug. 30
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| Underwriter: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48130UCY9
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