Published on 9/5/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.26 million 9.3% contingent coupon autocalls tied to three indexes
By Susanna Moon
Chicago, Sept. 5 – JPMorgan Chase Financial Co. LLC priced $1.26 million of contingent coupon autocallable yield notes due Feb. 26, 2021 linked to the worst performing of the Russell 2000 index, the S&P 500 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 of 9.3% if each underlying index closes at or above its 75% 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 observation date other than the first date and valuation date.
The payout at maturity will be par unless any index finishes below its 75% 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: | Contingent coupon autocallable yield notes
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| Underlying assets: | Russell 2000 index, S&P 500 index and Euro Stoxx 50 index
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| Amount: | $1,257,000
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| Maturity: | Feb. 26, 2021
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| Coupon: | 9.3% 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 trigger 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 observation date other than the first date and valuation date
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| Initial levels: | 1,728.422 for Russell, 2,897.52 for S&P and 3,447.57 for Stoxx
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| Trigger levels: | 1,296.3165 for Russell, 2,173.14 for S&P and 2,585.6775 for Stoxx, 75% of initial levels
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| Pricing date: | Aug. 28
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| Settlement date: | Aug. 31
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| Underwriter: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48130UAL9
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