Published on 1/17/2018 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $10 million step-down trigger autocalls tied to indexes, fund
By Susanna Moon
Chicago, Jan. 17 – JPMorgan Chase Financial Co. LLC priced $10 million of step-down trigger autocallable notes due Jan. 9, 2020 linked to the worst performing of the SPDR S&P Bank exchange-traded fund, Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 11.9% if each underlying component closes at or above its initial level on any annual observation date or its 80% downside threshold on the final valuation date.
If any component finishes below the 80% downside threshold, the payout at maturity will be par plus the return of the worst performing index or fund.
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: | Step-down trigger autocallable notes
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| Underlying assets: | SPDR S&P Bank ETF, Nasdaq-100 index and the Russell 2000 index
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| Amount: | $10 million
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| Maturity: | Jan. 9, 2020
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| Contingent coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Par plus return of worse performing component with full exposure to any losses of worse performing index or fund
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| Call: | At par plus 11.9% per year if each component closes at or above initial level on first four annual observation dates or its downside threshold on final valuation date
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| Initial levels: | $48.16 for bank fund, 6,653.29 for Nasdaq, 1,560.01 for Russell
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| Downside thresholds: | $38.53 for bank fund, 5,322.633 for Nasdaq, 1,248.008 for Russell; 80% of initial levels
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| Pricing date: | Jan. 8
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| Settlement date: | Jan. 11
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48129K423
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