By Marisa Wong
Morgantown, W.Va., May 23 – JPMorgan Chase Financial Co. LLC priced $14.25 million of callable contingent interest notes due May 27, 2020 to the lesser performing of the SPDR S&P Biotech ETF and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filed with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.75% if each ETF closes at or above its coupon barrier, 55% of its initial level, on the review date for that quarter.
The notes may be called at par in whole but not in part on any interest payment date other than the final one.
If the notes have not been called, the payout at maturity will be par plus the final coupon unless either of the ETFs has finished below its trigger value, 55% of its initial level, in which case investors will lose 1% for every 1% decline of the worse 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: | Callable contingent interest notes
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| Underlying ETFs: | SPDR S&P Biotech ETF and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $14,251,000
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| Maturity: | May 27, 2020
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| Coupon: | 9.75% per year, payable each quarter that each ETF closes at or above coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus final coupon unless either ETF finishes below trigger value, in which case 1% loss for every 1% decline of worse-performing ETF
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| Call option: | At par in whole but not in part on any interest payment date other than the final one
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| Initial levels: | $69.14 for biotech and $35.52 for oil
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| Coupon barriers: | $38.027 for biotech and $19.536 for oil; 55% of initial values
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| Trigger values: | $38.027 for biotech and $19.536 for oil; 55% of initial values
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| Pricing date: | May 19
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| Settlement date: | May 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2.1%
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| Cusip: | 46647MBB8
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