New Issue: JPMorgan sells $1.72 million contingent interest autocalls on indexes, ETF

By Sarah Lizee

Olympia, Wash., Jan. 29 – JPMorgan Chase Financial Co. LLC priced $1.72 million of autocallable contingent interest notes due Oct. 29, 2020 linked to the least performing of the S&P 500 index, the SPDR S&P Oil & Gas Exploration & Production ETF and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 8.2% per year if each asset closes at or above its interest barrier, 70% of its initial level, on the review date for that quarter.

The notes will be automatically called at par plus the contingent coupon if each asset closes at or above its initial level on any quarterly review date other than the final one.

If the notes have not been called, the payout at maturity will be par unless any asset finishes below its initial level and any asset ever closes below its trigger level, 70% of its initial level, on any day during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing asset declines.

The notes are guaranteed by JPMorgan Chase & Co.

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:	S&P 500 index, SPDR S&P Oil & Gas Exploration & Production ETF and Nasdaq-100 index
Amount:	$1,721,000
Maturity:	Oct. 29, 2020
Coupon:	8.2% per year, payable quarterly if each asset closes at or above interest barrier on review date for that quarter
Price:	Par
Payout at maturity:	Par unless any asset finishes below its initial level and any asset ever closes below its trigger level on any day during the life of the notes, in which case investors will lose 1% for every 1% that the least-performing asset declines
Call:	Automatically at par plus contingent coupon if each asset closes at or above initial level on any quarterly review date other than the final one
Initial levels:	9,141.467 for Nasdaq, 3,295.47 for S&P and $20.44 for ETF
Interest barriers:	6,399.0269 for Nasdaq, 2,306.829 for S&P and $14.308 for ETF; 70% of initial levels
Trigger values:	6,399.0269 for Nasdaq, 2,306.829 for S&P and $14.308 for ETF; 70% of initial levels
Pricing date:	Jan. 24
Settlement date:	Jan. 29
Agent:	J.P. Morgan Securities LLC
Fees:	1.5%
Cusip:	48132HUU4

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