By Angela McDaniels
Tacoma, Wash., March 18 – JPMorgan Chase & Co. priced $2.5 million of 0% return notes due March 17, 2020 linked to the J.P. Morgan Contag Beta Agriculture Class A Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
For each $1,000 principal amount of notes, the payout at maturity will be (a) $1,000 multiplied by (b) one plus the index return plus (c) $38.50.
The index is intended to capture the return of the synthetic exposure to a notional basket consisting of eight agricultural commodities (wheat, Kansas wheat, corn, soybeans, cotton, sugar, coffee and cocoa), each of which is represented by a commodity futures contract selected by a methodology developed by JPMorgan. The methodology uses, along with other criteria, the slope of the futures curve for each eligible commodity to select the futures contract for each eligible commodity with the highest level of backwardation or, in the absence of backwardation, the least amount of contango.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | J.P. Morgan Contag Beta Agriculture Class A Excess Return index
|
| Amount: | $2.5 million
|
| Maturity: | March 17, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | (a) $1,000 multiplied by (b) one plus index return plus (c) $38.50
|
| Initial index level: | 69.703, which was closing index level on March 12
|
| Final index level: Average of index’s closing levels on five trading days ending March 12, 2020
|
| Pricing date: | March 16
|
| Settlement date: | March 19
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2%
|
| Cusip: | 48125UDD1
|
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