By Susanna Moon
Chicago, Nov. 17 – JPMorgan Chase Financial Co. LLC priced $1.16 million of autocallable contingent interest notes due Nov. 16, 2022 linked to the least performing of the iShares Nasdaq Biotechnology exchange-traded fund and the iShares Latin America 40 ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 15% if each underlying component closes at or above its 81% coupon barrier on the review date for that quarter.
The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any review date other than the first and final dates.
The payout at maturity will be par unless either fund finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worse performing 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: | iShares Nasdaq Biotechnology ETF and iShares Latin America 40 ETF
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| Amount: | $1,155,000
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| Maturity: | Nov. 16, 2022
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| Coupon: | 15% annualized, payable quarterly if each component closes at or above 81% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless either fund finishes below its trigger, in which case 1% loss for each 1% decline of worse performing fund
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| Call: | At par plus contingent coupon if each component closes at or above initial level on any review date other than first and final dates
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| Initial levels: | $312.18 for biotech fund, $33.15 for Latin America fund
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| Coupon barriers: | $252.8658 for biotech fund, $26.8515 for Latin America fund; 81% of initial levels
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| Trigger levels: | $249.744 for biotech fund, $26.52 for Latin America fund; 80% of initial levels
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| Pricing date: | Nov. 10
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| Settlement date: | Nov. 15
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | None
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| Cusip: | 46647MPM9
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