By Angela McDaniels
Tacoma, Wash., Nov. 24 – JPMorgan Chase & Co. priced $5.4 million of contingent income callable notes due Nov. 25, 2020 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at an annual rate of 6.37% if each index closes at or above its downside threshold level, 60% of its initial level, on the observation date for that quarter.
The notes are callable at par of $10 on any contingent payment date other than the first and final ones.
The payout at maturity will be par unless either index finishes below its downside threshold level, in which case investors will be fully exposed to the decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Wealth Management is a dealer.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income callable securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $5,403,040
|
| Maturity: | Nov. 25, 2020
|
| Coupon: | Each quarter, notes pay contingent coupon at annual rate of 6.37% if each index closes at or above downside threshold level on observation date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par unless either index finishes below downside threshold level, in which case full exposure to decline of lesser-performing index
|
| Call option: | At par on any contingent payment date other than the first and final ones
|
| Initial index levels: | 2,089.17 for S&P 500 and 1,175.151 for Russell 2000
|
| Downside thresholds: | 1,253.502 for S&P 500 and 705.0906 for Russell 2000; 60% of initial levels
|
| Pricing date: | Nov. 20
|
| Settlement date: | Nov. 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 3%
|
| Cusip: | 48127Y383
|
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