By Wendy Van Sickle
Columbus, Ohio, July 30 – JPMorgan Chase Financial Co. LLC priced $1 million of callable contingent interest notes due July 25, 2022 linked to the least performing of the Euro Stoxx 50 index, the SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Bank ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 7.8% if each underlying index or fund closes at or above its 60% coupon barrier on the review date for that month.
The notes will be callable at par on any quarterly optional call date after one year.
The payout at maturity will be par unless any underlying component finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worst performing index or fund.
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: | Euro Stoxx 50 index, SPDR S&P Oil & Gas Exploration & Production ETF and SPDR S&P Bank ETF
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| Amount: | $1 million
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| Maturity: | July 25, 2022
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| Coupon: | 7.8% annualized, payable monthly if each underlying component closes at or above 60% coupon barrier on review date that month
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any component finishes below trigger level, in which case 1% loss for each 1% decline of worst performing index or fund
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| Call: | Callable at par on any quarterly optional call date after one year
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| Initial levels: | 3,460.03 for Stoxx, $48.69 for Bank and $42.50 for Oil & Gas
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| Coupon barrier/triggers: | 2,076.018 for Stoxx, $29.214 for Bank and $25.50 for Oil & Gas; 60% of initial levels
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| Pricing date: | July 20
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| Settlement date: | July 25
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.65%
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| Cusip: | 48129MP67
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