New York, July 21 – JPMorgan Chase Financial Co. LLC priced $1.65 million of autocallable contingent interest notes due July 23, 2020 linked to the least performing of the SPDR S&P 500 ETF Trust, the iShares Russell 2000 exchange-traded fund 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 semi-annual contingent coupon at an annual rate of 6.25% if each ETF closes at or above its 60% interest barrier on the review date for that period.
The notes will be called at par plus the contingent coupon if each ETF closes at or above its initial level on any semi-annual review date except the last one.
The payout at maturity will be par unless any ETF finishes below its 60% trigger value, in which case investors will lose 1% for each 1% decline of the worst performing ETF.
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 ETFs: SPDR S&P 500 ETF Trust, the iShares Russell 2000 exchange-traded fund and the SPDR Euro Stoxx 50 exchange-traded fund
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| Amount: | $1.65 million
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| Maturity: | July 22, 2020
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| Coupon: | 6.25% annualized, payable six monthly if each underlying ETF closes at or above 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 ETF falls below trigger level, in which case 1% loss for each 1% decline of worst performer
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| Call: | At par plus contingent coupon if each ETF closes at or above initial level on any semi-annual review date except the last one
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| Initial levels: | $246.99 for SPDR S&P 500, $143.10 for iShares Russell, $39.34 for SPDR Euro Stoxx
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| Interest barriers/trigger values: | $148.194 for SPDR S&P 500, $85.86 for iShares Russell, $23.604 for SPDR Euro Stoxx; 60% of initial levels
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| Pricing date: | July 19
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| Settlement date: | July 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.05%
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| Cusip: | 46647MYA5
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