Published on 2/27/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $1.93 million 8.5% contingent interest autocalls tied to three indexes
By Susanna Moon
Chicago, Feb. 27 – JPMorgan Chase Financial Co. LLC priced $1.93 million of autocallable contingent interest notes due Feb. 11, 2021 linked to the least performing of the DAX index, the Stoxx Europe 600 Banks index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 8.5% if each index closes at or above its 60% coupon barrier on the review date for that period.
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 60% 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: | Autocallable contingent interest notes
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Underlying indexes: | DAX, Stoxx Europe 600 Banks and MSCI Emerging Markets
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Amount: | $1,925,000
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Maturity: | Feb. 11, 2021
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Coupon: | 8.5% annualized, payable semiannually if each index closes at or above 60% coupon barrier on review date for that period
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Price: | Par
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Payout at maturity: | Par unless any index finishes below 60% trigger, 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 levels: | 12,392.66 for DAX, 182.98 for Stoxx Banks and 1,176.18 for MSCI EM, closing levels of indexes on strike date
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Trigger levels: | 7,435.596 for DAX, 109.788 for Stoxx Banks and 705.708 for MSCI EM; 60% of initial levels
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Strike date: | Feb. 6
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Pricing date: | Feb. 7
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Settlement date: | Feb. 12
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48129H4Y0
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