By Susanna Moon
Chicago, Feb. 9 – JPMorgan Chase Financial Co. LLC priced $1 million of autocallable contingent interest notes due Feb. 6, 2020 linked to the lesser performing of the SPDR S&P 500 ETF Trust and the SPDR Euro Stoxx 50 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annual rate of 6% if each fund closes at or above its coupon barrier, 60% of its initial level, on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any review date other than the final date.
The payout at maturity will be par unless either fund finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worst performing fund.
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 funds: | SPDR S&P 500 ETF Trust and SPDR Euro Stoxx 50 ETF
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| Amount: | $1 million
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| Maturity: | Feb. 6, 2020
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| Issue price: | Par
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| Coupon: | 6% annualized, payable quarterly if each fund closes at or above 60% coupon barrier on review date for that quarter
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| Payout at maturity: | Par unless either fund finishes below 60% trigger, in which case full exposure to any losses of worst performing stock
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| Call: | At par plus contingent coupon if each fund closes at or above initial level on any review date other than final date
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| Strike levels: | $227.62 for SPDR S&P and $34.12 for SPDR Euro Stoxx
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| Trigger levels: | $136.572 for SPDR S&P and $20.472 for SPDR Euro Stoxx; 60% of initial level
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| Strike date: | Feb. 1
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 8
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.3%
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| Cusip: | 46646QKP9
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