New Issue: JPMorgan prices $3.5 million autocallable contingent interest notes linked to indexes, ETF

By Angela McDaniels

Tacoma, Wash., Feb. 20 – JPMorgan Chase & Co. priced $3.5 million of autocallable contingent interest notes due Feb. 21, 2020 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at an annualized rate of 10.3% if each underlying component closes at or above its barrier level, 75% of its initial level, on the review date for that quarter.

The notes will be automatically called at par plus the coupon if each underlying component closes at or above its initial level on any quarterly autocall review date.

If the notes have not been called, the payout at maturity will be par plus the contingent coupon unless any component finishes below its trigger level, in which case investors will lose 1% for every 1% decline in the least-performing underlying component from its initial level.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying components:	S&P 500 index, Russell 2000 index and iShares MSCI EAFE ETF
Amount:	$3,497,000
Maturity:	Feb. 21, 2020
Coupon:	Each quarter, notes pay contingent coupon at annual rate of 10.3% if each underlying component closes at or above trigger level on review date for that quarter
Price:	Par
Payout at maturity:	Par plus contingent coupon unless any component finishes below trigger level, in which case 1% loss for every 1% decline in least-performing underlying component from initial level
Call:	Automatically at par plus contingent coupon if each underlying component closes at or above initial level on any quarterly autocall review date
Initial levels:	2,099.68 for S&P 500, 1,227.955 for Russell 2000 and $64.35 for iShares MSCI EAFE ETF
Trigger levels:	1,574.76 for S&P 500, 920.96625 for Russell 2000 and $48.2625 for iShares MSCI EAFE ETF; 75% of initial levels
Pricing date:	Feb. 18
Settlement date:	Feb. 23
Agent:	J.P. Morgan Securities LLC
Fees:	2.35%
Cusip:	48125UBZ4

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