By Susanna Moon
Chicago, Oct. 19 – JPMorgan Chase Financial Co. LLC priced $5.61 million of autocallable contingent interest notes due Oct. 15, 2020 tied to the lesser performing of the Russell 2000 index and the Vanguard FTSE Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 7% if each underlying index or fund closes at or above its 73% coupon barrier on the review date for that month.
The notes will be called at par plus the contingent coupon if each underlying component closes at or above initial level on any quarterly review date other than the final date.
The payout at maturity will be par unless either component finishes below its 73% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.
The notes are guaranteed by JPMorgan Chase & Co.
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 assets: | Russell 2000 index, Vanguard FTSE Emerging Markets ETF
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| Amount: | $5,613,000
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| Maturity: | Oct. 15, 2020
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| Coupon: | 7% annualized, payable monthly if each component closes at or above 73% coupon barrier on review date for that month
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless either component falls by more than 27%, in which case 1.36986% loss for each 1% decline of worse performing component beyond 27%
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| Call: | At par if each underlying component closes at or above initial level on any review date other than final date
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| Strike levels: | 1,505.164 for Stoxx, $44.78 for fund
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| Barrier levels: | 1,098.76972 for Stoxx, $32.6894 for fund; 73% of initial levels
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| Strike date: | Oct. 12
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| Pricing date: | Oct. 13
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| Settlement date: | Oct. 18
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 0.25%
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| Cusip: | 48129HGK7
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