Published on 1/3/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $775,000 11.5% contingent income autocalls tied to three indexes
By Susanna Moon
Chicago, Jan. 3 – JPMorgan Chase Financial Co. LLC priced $775,000 of contingent income autocallable securities due July 2, 2020 linked to the least 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 11.5% if each index closes at or above its 80% coupon barrier on the review 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 review date other than the final date.
The payout at maturity will be par unless any index finishes below its 65% downside threshold, 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 with Morgan Stanley Smith Barney LLC handling distribution.
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 indexes: | Russell 2000, S&P 500 and Euro Stoxx Banks
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Amount: | $775,000
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Maturity: | July 2, 2020
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Coupon: | 11.5% annualized, payable quarterly if each index closes at or above 80% coupon barrier on review date for that quarter
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Price: | Par
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Payout at maturity: | Par plus contingent coupon unless any index finishes below downside threshold, in which case 1% loss for each 1% decline of worst performing index
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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 index levels: | 1,548.926 for Russell, 2,687.54 for S&P and 131.27 for Stoxx Banks
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Coupon barriers: | 1,239.1408 for Russell, 2,150.032 for S&P and 105.016 for Stoxx Banks; 80% of initial levels
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Downside thresholds: | 1,006.8019 for Russell, 1,746.901 for S&P and 85.3255 for Stoxx Banks; 65% of initial levels
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Pricing date: | Dec. 28
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Settlement date: | Jan. 3
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Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution
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Fees: | 2%
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Cusip: | 48129HWJ2
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