By Wendy Van Sickle
Columbus, Ohio, Jan. 11 – JPMorgan Chase Financial Co. LLC priced $10 million of 0% step down trigger autocallable notes due Jan. 13, 2020 linked to the lesser performing of the SPDR S&P Bank ETF and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will be automatically called at par of $10 plus 16% per year if each asset closes at or above its call threshold level on any quarterly observation date after on year. For each asset, the call threshold level will be equal to the initial level for the first observation date and 80% of the initial level for the final observation date, Jan. 8, 2020.
If the notes are not subject to an automatic call, that means the final level of at least one asset will be less than its downside threshold, 80% of its initial level, and investors will be exposed to the decline of the lesser-performing asset from its initial level.
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 and Euro Stoxx Banks index
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| Amount: | $10 million
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| Maturity: | Jan. 13, 2020
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Full exposure to decline of lesser-performing asset from initial level
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| Call: | At par plus 16% per year if each asset closes at or above its call threshold level on any quarterly observation date after one year
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| Initial levels: | $48.14 for SPDR S&P Bank ETF and 134.75 for Euro Stoxx Banks
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| Downside thresholds: | $38.51 for SPDR S&P Bank ETF and 107.80 for Euro Stoxx Banks; 80% of initial levels
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| Call threshold levels: | Equal to initial levels for first observation date and equal to downside thresholds for Jan. 8, 2020
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| Pricing date: | Jan. 9
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| Settlement date: | Jan. 12
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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: | 48129K415
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