Published on 10/21/2019 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $3 million trigger absolute return step notes linked to index basket
By Angela McDaniels
Tacoma, Wash., Oct. 21 – JPMorgan Chase Financial Co. LLC priced $3 million of 0% trigger absolute return step securities due Oct. 22, 2024 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.
If the final basket level is greater than or equal to the initial basket level, the payout at maturity will be par of $10 plus the greater of 50.5% and the basket return.
If the final basket level is less than the initial basket level and greater than or equal to the downside threshold level, 75% of the initial basket level, the payout will be par plus the absolute value of the basket return.
If the final basket level is less than the downside threshold level, investors will lose 1% for every 1% that the final basket level is less than the initial basket level.
The notes are guaranteed by JPMorgan Chase & Co.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Trigger absolute return step securities
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| Underlying indexes: | Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei 225 (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight) and Hang Seng (5% weight)
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| Amount: | $3 million
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| Maturity: | Oct. 22, 2024
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If final basket level is greater than or equal to initial basket level, par plus greater of 50.5% and basket return; if final basket level is less than initial basket level and greater than or equal to 75% downside threshold level, par plus absolute value of basket return; if final basket level is less than 75% downside threshold level, 1% loss for every 1% that final basket level is less than initial basket level
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| Initial levels: | 3,588.62 for Euro Stoxx 50, 22,451.86 for Nikkei 225, 7,182.32 for FTSE 100, 6,684.684 for S&P/ASX 200, 10,008.94 for Swiss Market and 26,848.49 for Hang Seng
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| Pricing date: | Oct. 17
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| Settlement date: | Oct. 22
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 3.5%
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| Cusip: | 48132G278
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