By Susanna Moon
Chicago, July 25 – JPMorgan Chase Financial Co. LLC priced $4.2 million of autocallable contingent interest notes due July 23, 2020 linked to the least performing of the DAX index, the MSCI Emerging Markets index and the Stoxx Europe 600 Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent semiannual coupon at an annual rate of 6.7% if each index closes at or above its 60% coupon barrier on the review date for that period.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless any index finishes below its 60% trigger level, in which case investors will lose 1% for each 1% decline of the worst performing index.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
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| Underlying indexes: | DAX index, MSCI Emerging Markets index and Stoxx Europe 600 Banks index
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| Amount: | $1.6 million
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| Maturity: | July 23, 2020
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| Coupon: | 6.7% annualized, payable semiannually if each index closes at or above 60% coupon barrier on review date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any index falls below 60% trigger, in which case 1% loss for each 1% decline of worst performer
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| Call: | At par plus contingent coupon if each index closes at or above initial level on any review date other than the final date
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| Initial levels: | 12,430.39 for DAX, 1,053.23 for MSCI EM and 185.91 for Stoxx Banks
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| Trigger levels: | 7,458.234 for DAX, 631.938 for MSCI EM and 111.546 for Stoxx Banks; 60% of initial levels
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| Pricing date: | July 18
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| Settlement date: | July 21
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 46647MYM9
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