By Sarah Lizee
Olympia, Wash., Dec. 4 – JPMorgan Chase & Co. priced $361,000 of 0% step-up autocallable contingent buffered equity notes due Nov. 30, 2023 linked to the worse performing of the Euro Stoxx 50 index and the iShares MSCI EAFE ETF, according to a 424B2 with the Securities and Exchange Commission.
The notes will be called at par plus an annualized premium of 12.5% if each asset closes above its call level on any annual review date other than the final date. The call level will be 102% of the initial level on the first review date, stepping up by 2% on each subsequent review date to a final level of 108% on the on the fourth review date.
If each asset finishes above its initial level, the payout at maturity will be par plus the gain of the worse performing asset.
If either asset falls but by no more than the 50% contingent buffer, the payout will be par.
Otherwise, the payout will be par plus the return of the worse performing asset, with full exposure to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Step-up autocallable contingent buffered equity notes
|
| Underlying assets: | Euro Stoxx 50 index and the iShares MSCI EAFE ETF
|
| Amount: | $361,000
|
| Maturity: | Nov. 30, 2023
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each asset gains, par plus the return of the worse performing asset; if either asset falls but by no more than 50%, par; otherwise, par plus the return, with full exposure to any losses
|
| Call: | At par plus a premium of 12.5% a year if each asset closes at or above call level on an annual review date; call level is 102% of initial level on first review date and increases by 2% each year
|
| Initial levels: | 3,166.42 for index, $62.47 for ETF
|
| Contingent buffer: | 50%
|
| Pricing date: | Nov. 27
|
| Settlement date: | Nov. 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.84695%
|
| Cusip: | 48130UW92
|
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