By Marisa Wong
Morgantown, W.Va., May 23 – JPMorgan Chase Financial Co. LLC priced $1.08 million of autocallable contingent interest notes due May 21, 2020 linked to the least performing of the SPDR S&P 500 ETF trust, the iShares Russell 2000 ETF and the SPDR Euro Stoxx 50 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent coupon of 6.5% per year if each fund closes at or above its coupon barrier, 62.5% of its initial level, on an annual review date.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any annual review date other than the final date.
The payout at maturity will be par unless any fund finishes below its 62.5% trigger level, in which case investors will lose 1% for each 1% decline of the worst performing fund.
The notes are guaranteed by JPMorgan Chase & Co.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Autocallable contingent interest notes
|
| Underlying funds: | SPDR S&P 500 ETF trust, iShares Russell 2000 ETF and SPDR Euro Stoxx 50 ETF
|
| Amount: | $1,075,000
|
| Maturity: | May 21, 2020
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| Coupon: | 6.5% per year, payable if each underlying fund closes at or above coupon barrier on annual review date
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent coupon unless any fund finishes below trigger level, in which case 1% loss for each 1% decline of worst performing fund
|
| Call: | At par plus the contingent coupon if each fund closes at or above its initial level on any annual review date other than final one
|
| Initial prices: | $236.77 for SPDR S&P, $135.38 for iShares Russell and $39.09 for SPDR Euro Stoxx
|
| Coupon barriers: | $147.98125 for SPDR S&P, $84.6125 for iShares Russell and $24.43125 for SPDR Euro Stoxx; 62.5% of initial prices
|
| Trigger levels: | $147.98125 for SPDR S&P, $84.6125 for iShares Russell and $24.43125 for SPDR Euro Stoxx; 62.5% of initial prices
|
| Strike date: | May 18
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| Pricing date: | May 19
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| Settlement date: | May 24
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.9%
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| Cusip: | 46647MDH3
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