JPMorgan plans 3.5-year notes linked to S&P Economic Cycle Factor

By Angela McDaniels

Tacoma, Wash., May 14 – JPMorgan Chase Financial Co. LLC plans to price 0% notes due Nov. 30, 2022 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.

The payout at maturity will be par plus 105% to 120% of the index return, subject to a minimum payout of par. The exact participation rate will be set at pricing.

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.

The notes will price May 28.

The Cusip number is 48132CFD0.

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