Published on 10/22/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $16 million 10.62% contingent coupon autocalls tied to indexes, fund
By Susanna Moon
Chicago, Oct. 22 – JPMorgan Chase Financial Co. LLC priced $16 million of contingent coupon autocallable yield notes due Oct. 1, 2020 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the iShares MSCI Eurozone ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10.62% if each underlying asset closes at or above its 80% coupon barrier on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each asset closes at or above its initial level on any observation date other than the valuation date.
The payout at maturity will be par unless any asset finishes below its 80% trigger level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
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: | S&P 500 index, Nasdaq-100 index and iShares MSCI Eurozone ETF
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| Amount: | $16 million
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| Maturity: | Oct. 1, 2020
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| Coupon: | 10.62% annualized, payable quarterly if each asset closes at or above its 80% 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 asset finishes at or above trigger level, par; otherwise, 1% loss for each 1% decline of worst performing index or fund
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| Call: | At par if each asset closes at or above its initial level on any observation date other than valuation date
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| Initial levels: | 2,914 for S&P, 7,629.572 for Nasdaq or $41.66 for fund
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| Trigger levels: | 2,331.20 for S&P, 6,103.6576 for Nasdaq or $33.328 for fund, 80% of initial levels
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| Pricing date: | Sept. 27
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| Settlement date: | Oct. 2
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| Underwriter: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48130UMF9
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