By Angela McDaniels
Tacoma, Wash., April 2 – JPMorgan Chase & Co. priced $10.8 million of contingent income autocallable securities due April 5, 2022 linked to the worst performing of the Russell 2000 index, the Euro Stoxx Banks index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly payment of 2.8125%, or 11.25% per year, if each index closes at or above its 75% coupon barrier level on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above the initial level on any determination date other than the final date.
The payout at maturity will be par unless any index finishes below its 60% downside threshold level, in which case investors will be fully exposed to the decline of the worst-performing index.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | Russell 2000, Euro Stoxx Banks and MSCI Emerging Markets
|
| Amount: | $10,799,530
|
| Maturity: | April 5, 2022
|
| Coupon: | 11.25% per year, payable quarterly if each index closes at or above coupon barrier level on observation date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case exposure to decline of worst-performing index
|
| Call: | At par plus contingent payment if each index closes at or above initial level on any quarterly determination date other than final date
|
| Initial levels: | 1,252.772 for Russell 2000, 157.65 for Euro Stoxx Banks and 974.57 for MSCI EM
|
| Coupon barrier levels: | 939.579 for Russell 2000, 118.2375 for Euro Stoxx Banks and 730.9275 for MSCI EM; 75% of initial levels
|
| Downside thresholds: | 751.6632 for Russell 2000, 94.59 for Euro Stoxx Banks and 584.742 for MSCI EM; 60% of initial levels
|
| Pricing date: | March 31
|
| Settlement date: | April 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Wealth Management
|
| Fees: | 3.5%
|
| Cusip: | 48127T715
|
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