Published on 4/18/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $3.65 million step-down trigger autocallables on indexes
By Wendy Van Sickle
Columbus, Ohio, April 18 – JPMorgan Chase Financial Co. LLC priced $3.65 million of step-down trigger autocallable notes due April 8, 2020 linked to worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 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 called at par plus 10% a year if each index closes at or above its call level on any annual observation date.
The call level is equal to the initial level on the first and second observation dates or the 70% downside threshold on the final valuation date.
If any index finishes below the 70% downside threshold level, investors will lose 1% for each 1% decline of the worst performing index.
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 indexes: | Euro Stoxx 50, Russell 2000, S&P 500
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| Amount: | $3.65 million
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| Maturity: | April 8, 2020
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| Contingent coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If the notes are not called, full exposure to any losses of the worst performing index
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| Call: | At par plus 10% a year if each index closes at or above call level on any annual review date
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| Call levels: | Equal to initial level on first and second observation dates or 70% downside threshold on final valuation date
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| Initial levels: | 3,472.94 for Stoxx, 2,358.84 for S&P, 1,369.668 for Russell
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| Downside thresholds: | 2,431.06 for Stoxx, 1,651.19 for S&P, 958.768 for Russell; 70% of initial levels
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| Pricing date: | April 3
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| Settlement date: | April 6
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 48129F531
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