Published on 7/6/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.53 million contingent income autocalls tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, July 6 – JPMorgan Chase Financial Co. LLC priced $1.53 million of contingent income autocallable securities due Jan. 4, 2021 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 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 8.85% if each index closes at or above its 80% coupon barrier on each day 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 70% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
The guarantor is 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: | S&P 500, Russell 2000 and Nasdaq-100
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| Amount: | $1,525,000
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| Maturity: | Jan. 4, 2021
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| Coupon: | 8.85% annualized, payable quarterly if each index closes at or above 70% coupon barrier on each day during 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: | 2,718.37 for S&P, 1,643.069 for Russell and 7,040.802 for Nasdaq
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| Coupon barriers: | 2,174.696 for S&P, 1,314.4552 for Russell and 5,632.6416 for Nasdaq, 80% of initial levels
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| Downside thresholds: | 1,902.859 for S&P, 1,150.1483 for Russell and 4,928.5614 for Nasdaq, 70% of initial levels
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| Pricing date: | June 29
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| Settlement date: | July 5
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution
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| Fees: | 2.5%
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| Cusip: | 48129M4V5
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