New Issue: JPMorgan sells $1.11 million contingent interest autocallables on ETF, two indexes

By Marisa Wong

Morgantown, W.Va., July 19 – JPMorgan Chase Financial Co. LLC priced $1.11 million of autocallable contingent interest notes due July 2, 2020 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index 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 are guaranteed by JPMorgan Chase & Co.

Each month, the notes will pay a contingent coupon at an annual rate of 9% if each component closes at or above its 62% coupon barrier on the review date for that month.

The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any quarterly review date beginning Dec. 29.

The payout at maturity will be par unless any component finishes below its 62% trigger level, in which case investors will lose 1% for each 1% decline of the worst performing component.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase Financial Co. LLC
Guarantor:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying assets:	Euro Stoxx 50 index, Russell 2000 index, SPDR S&P Oil & Gas Exploration & Production ETF
Amount:	$1,105,000
Maturity:	July 2, 2020
Coupon:	9% annualized, payable each month that each underlying component closes at or above coupon barrier on review date for that month
Price:	Par
Payout at maturity:	Par plus contingent coupon unless any component falls below trigger level, in which case 1% loss for each 1% decline of worst performer
Call:	At par plus contingent coupon if each component closes at or above initial level on any quarterly review date beginning Dec. 29
Initial levels:	3,471.33 for Euro Stoxx, 1,416.199 for Russell and $31.70 for ETF
Coupon barriers:	2,152.2246 for Euro Stoxx, 878.04338 for Russell and $19.654 for ETF; 62% of initial levels
Trigger levels:	2,152.2246 for Euro Stoxx, 878.04338 for Russell and $19.654 for ETF; 62% of initial levels
Pricing date:	June 29
Settlement date:	July 5
Agent:	J.P. Morgan Securities LLC
Fees:	2.9%
Cusip:	46647MSZ7

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