By Angela McDaniels
Tacoma, Wash., March 4 – JPMorgan Chase & Co. priced $5.89 million of contingent income autocallable securities due March 3, 2020 linked to the worst performing of the Energy Select Sector SPDR Fund and the SPDR S&P Regional Banking exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
If each ETF closes at or above its downside threshold level, 70% of its initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 8%.
The notes will be called at par of $10 plus the contingent coupon if each ETF closes at or above its initial share price on any quarterly determination date other than the final determination date.
If the final share price of each ETF is greater than or equal to its downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, the payout will be par multiplied by the performance factor – the final share price divided by the initial share price – of the worst-performing ETF.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying ETFs: Energy Select Sector SPDR Fund and SPDR S&P Regional Banking ETF
|
| Amount: | $5,885,000
|
| Maturity: | March 3, 2020
|
| Coupon: | 8% per year, payable quarterly if each ETF closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par of $10.00
|
| Payout at maturity: | If final share price of each ETF is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, full exposed to decline of worst-performing ETF
|
| Call: | At par plus contingent coupon if each ETF closes at or above initial share price on any quarterly determination date other than final determination date
|
| Initial share price: | $79.02 for energy ETF and $40.21 for banking ETF
|
| Downside threshold: | $55.314 for energy ETF and $28.147 for banking ETF; 70% of initial share prices
|
| Pricing date: | Feb. 27
|
| Settlement date: | March 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 3%
|
| Cusip: | 48127R347
|
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