Published on 4/4/2019 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $381,000 step-up autocallables linked to economic cycle index
By Angela McDaniels
Tacoma, Wash., April 4 – JPMorgan Chase Financial Co. LLC priced $381,000 of 0% step-up autocallable notes due March 31, 2026 linked to the S&P Economic Cycle Factor Rotator index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Beginning March 26, 2020, the notes will be automatically called at par plus a call premium of 5% per year if the index closes at or above its call value on any annual review date. The call value is 101.7% of the initial index level on the first review date and will increase by 1.7 percentage points a year.
If the notes have not been automatically called, the payout at maturity will be par plus the index return, subject to a minimum payout of par.
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%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Step-up autocallable notes
|
| Underlying index: | S&P Economic Cycle Factor Rotator index
|
| Amount: | $381,000
|
| Maturity: | March 31, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index return, subject to minimum payout of par
|
| Call: | Beginning March 26, 2020, automatically at par plus call premium of 5% if index closes at or above call value on any annual review date
|
| Initial level: | 397.556
|
| Call values: | 101.7% of initial level on March 26, 2020, 103.4% of initial level on March 26, 2021, 105.1% of initial level on March 28, 2022, 106.8% of initial level on March 27, 2023, 108.5% of initial level on March 26, 2024 and 110.2% of initial level on March 26, 2025
|
| Pricing date: | March 26
|
| Settlement date: | March 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 4.26778%
|
| Cusip: | 48130W4K4
|
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