By Wendy Van Sickle
Columbus, Ohio, March 29 – JPMorgan Chase Financial Co. LLC priced $588,000 of 0% review notes due March 29, 2021 linked to the lesser performing of the Energy Select Sector SPDR fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be guaranteed by JPMorgan Chase & Co.
The notes will be called at par plus an annual call premium of 11.4% if each fund closes at or above its initial level on any of four annual call dates.
The payout will be par plus the contingent minimum return of 10% if each fund finishes at or above its trigger level, which will be 70% of its initial level.
Otherwise, investors will be fully exposed to any losses of the worse 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: | Review notes
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| Underlying funds: | Energy Select Sector SPDR fund and SPDR S&P Oil & Gas Exploration & Production exchange-traded fund
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| Amount: | $588,000
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| Maturity: | March 29, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 10% unless either fund finishes below 70% trigger level, in which case 1% loss per 1% decline of worse performing fund
|
| Call: | At par plus a call premium of 11.4% per year if each fund closes at or above its initial level on any of four annual call dates
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| Initial levels: | $68.56 for Energy Select and $35.21 for oil and gas fund
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| Trigger levels: | $47.992 for Energy Select and $24.647 for oil and gas fund; 70% of initial levels
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| Pricing date: | March 24
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| Settlement date: | March 31
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.4%
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| Cusip: | 46646QS89
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