JPMorgan plans step-up autocallables linked to economic cycle index

By Angela McDaniels

Tacoma, Wash., Jan. 24 – JPMorgan Chase Financial Co. LLC plans to price 0% step-up autocallable notes due Feb. 9, 2024 linked to the S&P Economic Cycle Factor Rotator index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

Beginning Feb. 6, 2020, the notes will be automatically called at par plus a call premium if the index closes at or above its call value on any annual review date.

The call premium is expected to be at least 5% per year. The call value will be 100% of the initial index level on the first review date, at most 100.9% of the initial level on the second review date, at most 101.8% of the initial level on the third review date, at most 102.7% of the initial level on the fourth review date and at most 103.6% of the initial level on the final review date. The exact call premium and call values will be set at pricing.

If the notes have not been automatically called, the payout at maturity will be par.

Index

The index tracks the return of a notional dynamic portfolio consisting of (a) one of four excess price return U.S. equity indexes and (b) the S&P 5-Year U.S. Treasury Note Futures Excess Return index while seeking to maintain an annualized realized volatility of about 6%.

Each underlying equity index seeks to provide exposure to the price change, less a notional financing cost deducted on a daily basis, of U.S. companies exhibiting one of the following sets of characteristics: momentum, value, high buybacks and free cash flows, or high dividends and low volatility. On a monthly basis, the index selects one of the four underlying equity indexes based on the stage of the U.S. business cycle inferred from the recent trend and average level of the Chicago Fed National Activity index.

The notional financing cost is intended to approximate the cost of maintaining a position in the relevant underlying equity index using borrowed funds and is currently calculated as a composite rate of interest that is intended to track the overnight rate of return of a notional position in a three-month time deposit in dollars, which is calculated by referencing two-month Libor and three-month Libor.

The underlying treasury index seeks to track the performance of a rolling position in the 5-Year U.S. Treasury note futures contract. It is an excess return index and not a total return index because it does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts.

J.P. Morgan Securities LLC is the agent.

The notes will price Feb. 6.

The Cusip number is 48130WTC5.

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