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JPMorgan plans step-up autocallables linked to S&P 500, Russell 2000
By Angela McDaniels
Tacoma, Wash., Dec. 11 – JPMorgan Chase Financial Co. LLC plans to price 0% step-up autocallable contingent buffered return enhanced notes due Dec. 18, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The notes will be automatically called at par plus a call premium if each index closes at or above its call value on any annual review date other than the final review date. The call premium is expected to be at least 8% per year and will be set at pricing. The call value for each index will be 102.5% of its initial level for the Dec. 14, 2018 review date, 105% of its initial level on Dec. 13, 2019, 107.5% of its initial level on Dec. 14, 2020, 110% of its initial level on Dec. 13, 2021, 112.5% of its initial level on Dec. 13, 2022 and 115% of its initial level on Dec. 13, 2023.
If the notes are not called and the final level of each index is greater than its initial level, the payout at maturity will be par plus 1.5 times the return of the lesser-performing index.
If the final level of one index is greater than its initial level and the final level of the other index is equal to its initial level or is less than its initial level by up to 50% or if the final level of each index is equal to its initial level or is less than its initial level by up to 50%, the payout will be par.
If the final level of either index is less than its initial level by more than 50%, investors will be exposed to the decline of the lesser-performing index from its initial level.
J.P. Morgan Securities LLC is the agent.
The notes will price Dec. 13.
The Cusip number is 48129HVF1.
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