By Wendy Van Sickle
Columbus, Ohio, Feb. 24 – JPMorgan Chase Financial Co. LLC priced $3.35 million of contingent income autocallable securities due Feb. 25, 2022 linked to the worst performing of the Euro Stoxx 50 index, the Nikkei 225 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
The notes will pay a contingent quarterly coupon at an annualized rate of 10.05% if each index closes at or above the downside threshold, 70% of the initial level, on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index close at or above its initial level on any quarterly determination date other than the final date.
The payout at maturity will be par unless any index finishes below its downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase Financial Co. LLC
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| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Nikkei 225, MSCI Emerging Markets Euro Stoxx 50
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| Amount: | $3.35 million
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| Maturity: | Feb. 25, 2022
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| Coupon: | 10.05% per year, payable quarterly if each index closes at or above downside threshold on observation date that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, full exposure to any losses of worst performing index
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| Call: | At par plus contingent coupon if each index close at or above initial level on any quarterly determination date other than final date
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| Initial levels: | 19,379.87 for Nikkei, 950.95 for MSCI EM and 3,339.27 for Stoxx
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| Downside thresholds: | 13,565.909 for Nikkei, 665.665 for MSCI EM and 2,337.489 for Stoxx; 70% of initial levels
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| Pricing date: | Feb. 22
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| Settlement date: | Feb. 27
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
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| Cusip: | 46646QLE3
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