By Angela McDaniels
Tacoma, Wash., Dec. 24 – JPMorgan Chase & Co. priced $4.85 million of contingent income autocallable securities due Dec. 23, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 6.35% if each index closes at or above its downside threshold level, 60% of its initial index level, on the determination date for that quarter.
The notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its redemption threshold level, 105% of its initial level, on any quarterly determination date other than the first and final ones.
If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $4,852,850
|
| Maturity: | Dec. 23, 2020
|
| Coupon: | 6.35% per year, payable quarterly if each index closes at or above its downside threshold level on determination date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of either index is less than downside threshold level, full exposure to decline of lesser-performing index
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above redemption threshold level on any quarterly determination date other than first and final ones
|
| Initial index levels: | 2,005.55 for S&P 500 and 1,121.020 for Russell 2000
|
| Redemption thresholds: | 2,105.8275 for S&P 500 and 1,177.071 for Russell 2000; 105% of initial levels
|
| Downside threshold: | 1,203.33 for S&P 500 and 672.612 for Russell 2000; 60% of initial index levels
|
| Pricing date: | Dec. 18
|
| Settlement date: | Dec. 23
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 3%
|
| Cusip: | 48128A509
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