By Sarah Lizee
Olympia, Wash., Dec. 10 – JPMorgan Chase & Co. priced $5 million of autocallable contingent interest accrual notes due Dec. 8, 2020 linked to the lesser performing of the VanEck Vectors Gold Miners exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon equal to (a) $1,000 multiplied by (b) the quotient of “N” divided by 252 multiplied by (c) the contingent interest rate of 9.8% per year. “N” will be equal to the aggregate number of trading days that month on which each index closed at or above its interest barrier, 80% of its initial level.
The notes will be called at par plus the contingent coupon if each ETF closes at or above its initial level on any quarterly autocall review date after one year.
The payout at maturity will be par unless either ETF finishes below its buffer level, 80% of its initial level, in which case investors will lose 1% for each 1% decline of the lesser-performing ETF beyond 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest accrual notes
|
| Underlying ETFs: | VanEck Vectors Gold Miners exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund
|
| Amount: | $5 million
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| Maturity: | Dec. 8, 2020
|
| Coupon: | Each month, notes pay contingent coupon equal to (a) $1,000 multiplied by (b) number of days during that month on which each index closes at or above trigger level divided by 252 multiplied by (c) 9.8% per year per year
|
| Price: | Par
|
| Payout at maturity: | Par unless either ETF finishes below buffer level, in which case 1% loss for each 1% decline of the lesser-performing ETF beyond buffer
|
| Call: | Automatically at par plus contingent coupon if each ETF closes at or above initial level on any quarterly autocall review date after one year
|
| Initial levels: | $19.44 for gold ETF, $33.87 for oil ETF
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| Interest barriers/buffer levels: | $15.552 for gold ETF, $27.096 for oil ETF; 80% of initial levels
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| Pricing date: | Dec. 3
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| Settlement date: | Dec. 6
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| Underwriters: | J.P. Morgan Securities LLC
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| Fees: | 2.75%
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| Cusip: | 48130WGN5
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