By Sarah Lizee
Olympia, Wash., April 29 – JPMorgan Chase Financial Co. LLC priced $150,000 of 0% step-up autocallable notes due April 30, 2026 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 April 27, 2020, the notes will be automatically called at par plus a call premium of 5.25% per year if the index closes at or above its call value on any annual review date. The call value is 102.25% of the initial index level on the first review date and will increase by 225 basis 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
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Step-up autocallable notes
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Underlying index: | S&P Economic Cycle Factor Rotator index
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Amount: | $150,000
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Maturity: | April 30, 2026
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus index return, subject to minimum payout of par
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Call: | Beginning April 27, 2020, automatically at par plus call premium of 5.25% per year if index closes at or above call value on any annual review date
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Initial level: | 394.212
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Call values: | 102.25% of initial level on April 27, 2020, stepping up by 225 bps per year up to 113.5% on the final review date
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Pricing date: | April 25
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Settlement date: | April 30
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Agent: | J.P. Morgan Securities LLC
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Fees: | 4.26417%
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Cusip: | 48130WR78
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