By Sarah Lizee
Olympia, Wash., May 1 – JPMorgan Chase Financial Co. LLC priced $1.04 million of 0% step-up autocallable notes due May 1, 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 April 27, 2020, the notes will be automatically called at par plus a call premium of 6.25% per year if the index closes at or above its call value on any annual review date. The call value is 102% of the initial index level on the first review date and will increase by 200 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
|
| Guarantor: | JPMorgan Chase & Co.
|
| Issue: | Step-up autocallable notes
|
| Underlying index: | S&P Economic Cycle Factor Rotator index
|
| Amount: | $1,042,000
|
| Maturity: | May 1, 2024
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index return, subject to minimum payout of par
|
| Call: | Beginning April 27, 2020, automatically at par plus call premium of 6.25% per year if index closes at or above call value on any annual review date
|
| Initial level: | 396.982
|
| Call values: | 102% of initial level on April 27, 2020, stepping up by 200 bps per year up to 108% on the final review date
|
| Pricing date: | April 26
|
| Settlement date: | May 1
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.8%
|
| Cusip: | 48132CCY7
|
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